Since we are going to use balanced web servers the Session State management
will needs to be stored in SQL Server database.
Separate database will need to be setup for this purpose.
Here is link to the article 
http://msdn2.microsoft.com/en-us/library/ms178586(vs.80).aspx
 that we based our setup on.
Here is one more link to explain our approach 
http://sjbdeveloper.blogspot.com/2006/05/using-custom-database-for-persisted.html