sessions vs. cookies?

Is there much of a difference between session_start() and just using the set_cookie function? I've always set cookies without using the session_start() functions and I'm wondering if I should start using the start_session() function as well. Are there benefits to doing so? Is there much overhead? Thanks, -Ed **************************************************************************** This message is intended for the sole use of the individual and entity to whom it is addressed, and may contain information that is privileged, confidential and exempt from disclosure under applicable law. If you are not the intended addressee, nor authorized to receive for the intended addressee, you are hereby notified that you may not use, copy, disclose or distribute to anyone the message or any information contained in the message. If you have received this message in error, please immediately advise the sender by reply email and delete the message. Thank you very much.