I am afraid, I could not get you completely.

If you are sharing load among servers then
State Server can help you scale out, it allows multiple machines in a load balanced web-farm to share a single session state.
It is limited by machine memory, however if you will have lots of concurrent sessions you may want to use the SQL Session State provider.

For the most performance in a web , you can also try using AppFabric.

use below URLs:

http://msdn.microsoft.com/en-us/library/aa478952.aspx

http://msdn.microsoft.com/en-us/library/ms178587.aspx

http://blogs.msdn.com/b/velocity/archive/2008/06/05/how-to-use-session-store-provider-microsoft-project-code-named-velocity.aspx

http://msdn.microsoft.com/en-us/library/ee790859.aspx

We could purchase windows azure (Microsoft platform for cloud computing) services too which is most advanced form and efficient way but bit an expensive one.

What is Asp.Net Session State database? Is this necessary to Install it on SQL server in-case we are using SQL Session state mode.?