[eluser]Lukifer[/eluser]
1. Make sure cookies are turned on. The server can't find your session unless it has the cookie containing your session id.
2. Make sure that your cookies are on the same domain. (If you have a cookie for "domain.com" set, and the session id is stored under "www.domain.com", it won't pass the correct cookie, and won't find your session). Check your config.php.
If CI's cookie/session aren't working for you, vanilla PHP sessions ($_SESSION, session_start(), etc.) work just fine, and the wiki has several other session implmentations you can try.