Check that your session directory is writable by the webserver process.
The best way to do so is to create your own phpinfo file; in any web accessible folder create a file (you can call it test.php or phpinfo.php or whatever you’d like) with the following content:
<?php
phpinfo();
?>
Open that file in your browser (http://localhost/test.php
or similar) and look for the line session.save_path
. That’s your session folder; make sure the permissions are suitable and see if that helps.
More information from a similar thread.