First off, $HTTP_SESSION_VARS is deprected in PHP 4.1 and up, so use $_SESSION instead if you're using a recent version.

You also need to start the sessions using session_start(). Here's an example:

Code:
session_start(); // you must do this before any output to the browser

if (isset($_SESSION['username'])) {
    echo 'Welcome back, <b>' . $_SESSION['username'] . '</b>.';
} else {
    echo 'You are not logged in.';
}
To start the session:

Code:
session_start(); // you must do this before any output to the browser

// I'm going to assume you got some login information
// from a database and use $user as the database record:
if ($user = mysql_fetch_array($users)) {
    $_SESSION['username'] = $user['name'];
} else {
    echo 'Invalid information';
}
Then, until the browser closes, $_SESSION['username'] should be there, as the session ID is stored either in a cookie on the users computer, or passed along in the query string.

Hope this helped.