Before you run session client you need to deploy the session service running on Axis2/C Apache module.

You need to build apache with mod-dbd enabled. I have the following configuration for Apache build.
./configure --prefix=/usr/local/apache2 --enable-ssl --enable-setenvif --with-included-apr --with-mpm=prefork --enable-ssl --enable-setenvif --enable-dbd --enable-mods-shared="mod_log_config mod_status mod-mime mod-dir" 

Then you need to add the following into to httpd.conf
---------------------------------------------------------------------------
DBDriver mysql
DBDParams "dbname=axis2c user=<username> pass=<password>"

DBDMin  4
DBDKeep 8
DBDMax  20
DBDExptime 300
DBDPrepareSQL "SELECT value FROM session WHERE id = %s" retrieve_session
DBDPrepareSQL "INSERT INTO session(id, value) VALUES(%s,%s)" insert_session

---------------------------------------------------------------------------

You need to create a mysql table called session with following schema.

mysql> desc session;
+-------+--------------+------+-----+---------+-------+
| Field | Type         | Null | Key | Default | Extra |
+-------+--------------+------+-----+---------+-------+
| id    | varchar(128) | YES  |     | NULL    |       | 
| value | varchar(512) | YES  |     | NULL    |       | 
+-------+--------------+------+-----+---------+-------+