Multi-language support

[eluser]codeninja[/eluser]
I am currently building an application that would need to be transalated to many different languages. Now the way the application would work is:

1. User starts the application
2. Is presented with a screen that ask him to choose the language
3. We run through the rest of the application with that language

Should I store the language selection in SESSION or COOKIE?

How would you approach this?

Also, any plugin / library that allows us to save/pull all the language strings from the database instead of a file?