If you didn't get the answer already, you can refer to the following:
General sql server session state setup info: http://msdn2.microsoft.com/en-us/library/ms229862(VS.80).aspx
Specific thing you need to do if setting it up for SQL Server Express:
http://msdn2.microsoft.com/en-us/library/ms178586(VS.80).aspx
The pertinent information about SQL Server Express from the second link above is (note where it says "By default, you...":
Installing the Session State Database Using the Aspnet_regsql.exe Tool
To install the session state database on SQL Server, run the Aspnet_regsql.exe tool located in the systemroot\Microsoft.NET\Framework\versionNumber folder on your Web server. Supply the following information with the command:
*
The name of the SQL Server instance, using the -S option.
*
The logon credentials for an account that has permission to create a database on SQL Server. Use the -E option to use the currently logged-on user, or use the -U option to specify a user ID along with the -P option to specify a password.
*
The -ssadd command-line option to add the session state database.
By default, you cannot use the Aspnet_regsql.exe tool to install the session state database on SQL Server Express Edition. In order to run the Aspnet_regsql.exe tool to install a SQL Server Express Edition database, you must first enable the Agent XPs SQL Server option using T-SQL commands like the following:
EXECUTE sp_configure 'show advanced options', 1
RECONFIGURE WITH OVERRIDE
GO
EXECUTE sp_configure 'Agent XPs', 1
RECONFIGURE WITH OVERRIDE
GO
EXECUTE sp_configure 'show advanced options', 0
RECONFIGURE WITH OVERRIDE
GO
You must run these T-SQL commands for any instance of SQL Server Express Edition where the Agent XPs option is disabled.
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