session question (newbie)

Hi. I just starting using sessions with php 4.0.3pl1 trans-sid compiled and I really can't find the solution of my problem and I'm sure must be very obvious. In page index.php I start the session with session_start(); then I hit the link and the session id propagates through the URL, in the second page ropa.php I hit a link to another page and the session ID is lost in the URL. I try session_start() in that script without success, so my question is how can I propagate the session_id to the following pages ? I hope I explain myself. Thanks in advance for your help. Sincerely, Angel.