Clients cannot express a desire not to join a session by turning cookies off.
Even if cookies are turned off, session can still be maintained at server-side.
For example, in case of HREFs, one could supply the session ID as an extra parameter in the query string. This is called URL rewriting.
In case of form submission, one could supply a hidden field that has the session ID as its value.
See http://java.sun.com/j2ee/tutorial/doc/Servlets11.html#65605