The Session name can help you to make a distinction between different clients. By default the browser name is used, but if you want to make distinction between different sessions in the same browser, then setting the session name will help you with that.
The printscreen I included will show you the different clients that were connected through the History tab, all requests are grouped per client. The IE 10.0 or Chrome 28.0 are defaults determined from the browser being used. The cgijbels is the one I set myself while using the same browser that initially indicated Chrome 28.0
I hope that answers your question