Whether you are working with forms in custom workflows - or simply trying to publish a form to a form library in MOSS so you can collect information from the user, you may encounter this error.

Initially if you Google the error - you may find comments that state that you need to uncomment the following line in the web.config for the web application:

<!-- <add name="Session" type="System.Web.SessionState.SessionStateModule"/> -->

DO NOT uncomment this field. Many do this and the forms may work - and this appears to be the solution - but it is not the best practice and it is not recommended by MSFT.

You probably have not created a Shared Service Provider and associated the web application in question with the SSP.

MOSS uses the Shared Service Provider to allow / manage session state for a Farm - and specifically for the associated web applications under that SSP.

CREATING THE SHARE SERVICE PROVIDER

When you installed MOSS - the first thing you began to get familiar with is the Central Administration tool. Take a look at the following snapshot:

Click here for a snapshot

Notice on the left side - under Shared Services Administration, there are 2 SSP's - SSP Administration and SSP Services. These were created after the farm was deployed (a farm is used relatively here - in essence, after MOSS was deployed).

When you first setup MOSS - there are no SSP's out of the box deployed for you. You must manually create them.

The first SSP you create will contain the SSP/Admin site - and you will also receive a warning that you should not create things like My Sites or Search services scopes within this SSP. It is a best practice to first create an initial SSP - like the example above - name is SSP Administration - and then create a 2nd or successive SSP's for shared services (like Forms, Search, Excel, My Sites, etc).

Finally, when creating a SSP - you will notice that the SSP site will default to an existing web application. See the snapshot below:

Click here for a snapshot 

Under the Basic Sites in this example, you would click the Create a new Web Application - the objective is to place the SSP in its own web application and not an existing one. Once that web application is provisioned - you will be returned to this screen and you'll be able to select the appropriate web application for the SSP.

Ping me if you have any questions - hope this is helpful...