Okay, you set your session save handler to user... did you actually write custom session handling functions? If so, did you register them as the session handlers?
Basically, you told PHP that you, the user, would provide the functions that handle opening, closing, reading, writing, and deleting session data. If PHP is NOT told which custom user-defined functions will perform the above session data maintenance tasks, then it cannot, obviously, start a session -- from where will it retrieve the session data? To where will PHP store the data?
I could give you a big overview on sessions, but there's already a lot of info posted about it. Read the articles on custom session handlers for PHP4 on PHPBuilder. They're dated, but they should give you a pretty good idea for what to do.