isn't the session automagically appended to the URL (GET) if they don't allow sessions ?
Should probably have said ...
Create a cookie with a 1 year time out (again as dtour has pointed out assuming they allow cookies)
This way the next time they hit the site after closing the browser they won't be asked do you want to continue.
BTW excluding IE6 is a bad idea (drawing attention to it) ... given the amount of users that still use it.