Sessions and Security Concerns

Hi, I'm just wondering whether there are any apparent security concerns I should be aware of when using sessions in my PHP scripts. I understand that sessions are tracked with an individual user via a session ID which is stored in a temporary location on the server, as well as a PHPSESSID cookie assigned to the end user's client, but the server my website is hosted on (and which I'll be developing my PHP script on) doesn't allow you to create a session ID via the URL (i.e. index.php?PHPSESSID=1234) so I *presume* only the server can generate a session ID for the end user when I call the session_start function? So do I still need to call session_regenerate_id for security purposes when an end user has entered the correct login credentials - would this be necessary since you cant set a session ID via the URL? Thanks, Ben.