Connection happens when source IP (local IP) is accessing/connected to destination IP (remote/foreign IP).
Session refers to any session opened/established between the two IPs, i.e simultaneous www, ftpt and smtp session.
In PIX/ASA, you can view this using "sh conn". Drill more to tcp/udp using 'sh conn | i TCP' or 'sh conn | i UDP'.
Multiple sessions can exists in one connection, for example, if you're accessing partner's server hosting www and ftp services, your PC can open partner's website and at the same time, FTPing data out from there.
HTH
AK
