Configuring Sessions In PHP

I apologize if this already made it to the list, but as far as I can tell it did not. I am trying to use PHP 4.0.4pl1 with Windows 98 SE and Personal Web Server 4.x (not sure exactly which version). So far everything seems good, except when I try to add the line session_start() to a PHP page I get an error. Are there some settings I need to add to php.ini to get this to work? I am using php.exe. Any help that could be offered would be much appreciated. Thank you. Eric