A session is a link between two points. However, TCP and UDP sessions are different.
If you connect to a website, several TCP and UDP sessions might get established at that time with that server.
TCP session is secure and it cares in what order, how the packets are reaching. Error handling, missing packets etc is taken care by TCP. 3 way handshake is used to establish a TCP session. Thus, a TCP session is defined by my pc's ip:portno and server's ip:portno as sender or receiver.
UDP session on other hand, is just like opening a port from the remaining port numbers (till 65536). Any server that sends a packet destined to my ip:port address will be accepted by my computer. There is no such connection establishment or anything. Thus, a UDP session is defined only by my pc's ip:portno
Session layer is the layer responsible for session management. For eg. Opening and closing ports for tcp udp, managing session duration, etc.
Hope this helps :)