In your web.config, check under <system.web> and you should have an entry like following exists to make sure we can enable ASP.NET Session State. I did not seem to find in your post but I am not sure if you have included everything. You will need to specify how session state is implemented and below is using SQLServer to store session state and you could have in-state session service as well.
<sessionState mode="SQLServer" timeout="60" allowCustomSqlDatabase="true" partitionResolverType="Microsoft.Office.Server.Administration.SqlSessionStateResolver, Microsoft.Office.Server, Version=12.0.0.0, Culture=neutral, PublicKeyToken=71e9bce111e9429c" />