Your Session contains all of your recorded information. It is represented by the Session window; by default a new session is automatically created when you start Charles (Untitled Session 1).
You will possibly only ever need a single session when you are using Charles. Until you feel the need to use multiple sessions: don’t bother. When your session gets full (or too busy) you can clear it (using the Clear Session option in the File Menu or the trash can icon on the toolbar).
Sessions can be saved and re-opened (see the File Menu), which can be useful for exchanging with colleagues.