Hi,
I might be very wrong, you can't create session variables using actionscript. You can use Local Shared Objects, but these need to be created within the app itself, and I am not sure if the browser can read them.
Here is the live docs link http://livedocs.adobe.com/flex/201/html/wwhelp/wwhimpl/common/html/...
Now flex may be very different than flash in this aspect.
I can show an example in flash if you think that would help?
I have only done this for flash remoting with ColdFusion. A simple login page, but the variables were passed in flash using ColdFusion. I have this someplace on my machine.