About
session in network are known as connection.
A socket is the known network connection implementation.
When referring to a network connection, most of the times, a text will refer to a TCP connection which is a socket implementation in TCP
Opening and closing connection are heavy operations, that's why even with HTTP, the connection tends to be permanent until the client, the server or a timer as expired. See HTTP Connection management
How to connect
You can connect to a net server with a net client.