Session variables

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I'm not too clear on HTTP headers, cookies, and such. So here are
questions related to that. Let's say I generate a random number that I
want the user to enter in a form. When I generate the number, I store it
in a session variable ($_SESSION). When the user submits the form, I
check the number they enter with what I've stored in the session
variable.

Since this session variable survives across page loads (assuming
session_start() is appropriately called), how is it stored and recalled?

Is it automatically stored as a cookie on the user's system? 

Or is it stored on the server? 

And how does a server "get" a cookie? 

Is it a separate request made by the server to the client? 

If the value I've asked the user for is *not* stored as a cookie, then
is it passed as part of the HTTP submission or what?

Thanks for any enlightenment on this.

Paul
-- 
Paul M. Foster

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