The typical problem here is that there is no valid location for the session data to be stored set in the php.ini file (or with session_save_path), or there a insufficient permissions to save the info.
If you are using a hosting company, make sure to check their wiki on where they want the path set to. Some require you to have a sessions folder in your root that you use.
If it is a localhost setup, make sure that the web server has write access to the save path.