I think your best option is to pass the session id on the request, with a parameter or a path component:

  http://my.site.net/the/path/to/the/page/SESSIONID
[download]

or

  http://my.site.net/the/path/to/the/page?sid=SESSIONID
[download]

or something to that effect.

I personally prefer the first method, since it's less confusing to spiders and bots (and I'd like my site to be indexed by search engines).

-- 
        dakkar - Mobilis in mobile