You can't do this reliably. This is because Internet Explorer has a setting called "browse in new process" which, if enabled, forces a new session with each new window. Use a key in the querystring, tied to a cookie or a form, if session state across windows is a necessity. See
the fake volleyball store for a working example.
Microsoft says there is no direct workaround for this, but goes into more detail about how it can happen randomly in
KB #196383.
Also, starting with IE 5.01, this setting is no longer in the Advanced Options, but pre-determined -- depending on the amount of RAM in the system. This is described in
KB #240928.
The short version: don't rely on maintaining sessions across multiple windows.