Every session will have SessionID. And Session ID is a unique number, server assigns to a specific user, during his visit(session). And defaultely, session ID is attached to a cookie and this cookie will be shared from client to server (and server to client) during its requests/responses. And server will identify session based on session id which is retrieved from cookie.
And regarding cookieless, if your browser doesnt support cookie or disabled, then cookieless will be used. Since it is Cookieless, asp.net can not create a cookie to save session id. Instead, the session id will be passed in query string...