How to maintain Individual user sessions in asp.net

It is automatically maintained. your question is not clear.
do you want to add individual data to session? or do you want to store authentication information in session?

check these article
Exploring Session in ASP.NET[^]
http://msdn.microsoft.com/en-us/library/ms178581(v=vs.100).aspx[^]

ASP.NET Authentication
http://www.asp.net/web-forms/videos/authentication[^]
ASP.NET authentication and authorization[^]
http://msdn.microsoft.com/en-us/library/eeyk640h(v=vs.90).aspx[^]