I'm working on a script that will (hopefully) make it so that a user's username and password will not need to be entered multiple times while "doing" things on the site...the same way it is with vBulletin basically.
If you still use PHP3 then you have to use PHPLib to create sessions. PHP4 already supports session.
The above tutorials will definitely get you started. For the record, however, PHP4's in-built session features will save you considerable time, since they essentially wrap a programmer-friendly interface around a cookie-based solution.