Sounds like you'll need to create your own Global Application class which inherits from Umbraco Application. From there you'll be able to access session events as per the usual global way. Try the following:

<%@ Application Codebehind="Global.asax.cs" Inherits=“MyApplication.Global" Language="C#" %>

using System;
using Umbraco.Web;

namespace MyApplication
{
    public class Global : UmbracoApplication
    {
        protected void Session_Start(object sender, EventArgs e)
        {
            // Session start logic here
        }
    }
}