In the context of study, 'session' and 'lesson' have somewhat similar definitions. 'Session' in this context simply means a length of time during which you've been doing something (i.e. learning/teaching). 'Lesson' relates more to the content (i.e. what you learnt/what was taught), rather than referring to the actual time spent learning/teaching But this is literal definition (much like the use in UK/US of the word 'period' when in school), so the two have no real difference when conversing in a teacher/student context.