This is not an OpenBSD specific question, "session" are a functionality offered by PHP.. and are in no way connected with the native OS's user separation/permissions or authentication.
Official Information, tutorials.
http://www.php.net/manual/en/features.sessions.php
http://www.php.net/manual/en/ref.session.php
http://www.google.lv/search?hl=en&q=PHP+sessions