The only way to enable session state in SharePoint is through PowerShell
Follow the article: http://nikpatel.net/2012/02/12/enable-asp-net-session-state-on-sharepoint-2010-application/
Bruce Ng's software development blog
An archive of solutions of programming problems I have faced in my career
Follow the article: http://nikpatel.net/2012/02/12/enable-asp-net-session-state-on-sharepoint-2010-application/