You can find all configuration details on this MSDN article. Go to section SQL Server Mode
This is the required configuration
<configuration>
<system.web>
<sessionState mode="StateServer"
stateConnectionString="tcpip=SampleStateServer:42424"
cookieless="false"
timeout="20"/>
</system.web>
</configuration>
Here you have some details about where the session information is stored and how to change the default location. For more details, check this article as Andre Calil suggested.
By default, the Aspnet_regsql.exe tool will create a database named ASPState containing stored procedures that support SQLServer mode. Session data itself is stored in the tempdb database by default. You can optionally use the -sstype option to change the storage location of session data