There was another topic about multiple sessionstore files and I checked at that point and I didn't have any. I though this was something that you had to physically select as an option or install an extension, etc. and since I hadn't done that, I though that was why I didn't have any sessionstore files.
From Alan's post, etc. I find that this should be a default action, one that isn't working on my system. I don't know if this might have anything to do with the fact that I run firefox under dropmyrights, though I would be surprised if that were the case as I can even install extensions under DropMyRights.