This appears when attempting to access one of the SharePoint 2010 Reporting features like the Issues site, etc.
The problem is that during the configuration, it is not turned on by default. The fix is quite simple - open the SharePoint 2010 Management Shell (Powershell...reminds me of DEC's command line language!). Enter in the command enable-SPSessionStateService and hit return (no space between the hypen). This will prompt you for a database name, enter something like SPSessDB - this name will be used internally.
Do an IISReset and you should be all set.
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