Make sure you close the browser properly (i.e. close all your tabs and windows, including loading, etc.). Look at the task manager to see if everything works. A session may not be cookie-based (for example, it can be tracked in the same process that processes the request), and clearing the browser cache will not affect open sessions.
Assuming you are developing an asp.net application or website, you can try right-clicking the ASP.NET Development Server icon in the taskbar and stop it, and then restart the project. This should kill all sessions.
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