IntraWeb is just not designed for handling such session amounts. IntraWeb is designed for Web applications and not for Web sites. Eventhough a plain IntraWeb session takes only a few kbytes, IntraWeb's session handling model is more a "fat" model. It is perfectly suited for creating complex stateful applications that can handle a few hundred concurrent sessions.
For Web sites with thousands of users per day - where many users just open one page and go away again - you /could/ certainly use Webbroker - but that basically means that you have to build up everything from scratch.
If you are a Delphi guy then I would recommend looking into Delphi Prism plus ASP.NET. There are tons of ASP.NET controls that simplify building your Web site in a rapid way. ASP.NET controls from DevExpress.com, Telerik.com and others work perfectly fine in Delphi Prism.