try with
DateTime myDt = Convert.ToDateTime(Session["Last_Login_date"]);
if you going to use
DateTime.ParseExact
then you need to give exact format as your input, otherwise it will fail.
Set session value with DateTime object directly.
Session["Last_Login_date"] =DateTime.Now;
when you need to retrieve value back,
DateTime myDt = Convert.ToDateTime(Session["Last_Login_date"]);