The location of the $_SESSION variable storage is determined by PHP’s session.save_path configuration. Usually this is /tmp on a Linux/Unix system. Use the phpinfo() function to view your particular settings if not 100% sure by creating a file with this content in the DocumentRoot of your domain:
<?php
phpinfo();
?>
Here is the link to the PHP documentation on this configuration setting:
http://php.net/manual/en/session.configuration.php#ini.session.save-path