I have just migrated my application from a local WAMP to the actual online server. This has caused trouble with the session ID not being saved as it appears.
It might be caused by three characters (BOM (Byte Order Mark)) that are injected by certain programs (i.e. dreamweaver, notepad) before the marker, therefore thesession is in fact not initialized.
If you have error_reporting enabled, you will see headers already sent..
Check your file with a hex editor to see if your editor injected any characters.