Page.Session["sessionName"] = "value of session";
you must add this code to web.config sharepoint
<pages enableSessionState="true" enableViewState="true" enableViewStateMac="true" validateRequest="false" pageParserFilterType="Microsoft.SharePoint.ApplicationRuntime.SPPageParserFilter, Microsoft.SharePoint, Version=14.0.0.0, Culture=neutral, PublicKeyToken=*******" asyncTimeout="7">
and add session to modules<modules runAllManagedModulesForAllRequests="true">
<remove name="Session" />
<add name="Session" type="System.Web.SessionState.SessionStateModule" preCondition="" />
</modules>