Without cookies, you have two options. SessionId is passed first through Urls. This requires a lot of work on the server, because every URL that you send back must have sessionId attached to it (usually in the form of a query string parameter). For instance:
/ path / to / page
becomes
/ path / to / page? SessionID = Asdfg-Asdfg-Asdfg-Asdfg-Asdfg
Another option you have is to combine the information that you use via http into a "unique" key and create your own session bucket. By combining the Http UserAgent, RemoteIp, and RemoteXfip, you can come close to uniquely identifying the user, but there is no guarantee that this key is 100% unique.
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