Looking for a $_SESSION clarification...

I've been playing with $_SESSION and I have come across what seems strange
to me but hopefully one of you understands and can explain it to me.

I put together 4 pages based on info from the manual and the PHPSESSID is
inconsistent in showing up in the address bar while the variables seem to
follow just fine. Am I doing something wrong? (I'd prefer the ID not be
there if that's a choice) But why is it showing up and then going away?

Page one:
--------------------------
<?php
session_start();
$count = 5;
$_SESSION["count"] = $count;
$count2 = 10;
$_SESSION["count2"] = $count2;
?>

<br>
Count is set to: [<?=$count?>].<br>
<br>
To continue, <a href="nextpage.php">click here</a>.<br>
--------------------------

Page 2, 3, and 4 all look like this:
--------------------------
<?php
session_start();
?>

<br>
Count is set to: [<?=$count?>].<br>
Count2 is set to: [<?=$count2?>].<br>
<br>
To continue, <a href="nextpage2.php">click here</a>.<br>
--------------------------

When I click on the link from the first page, the second page shows the ID
in the URL. When I click on the link in the 2nd page and beyond, the ID is
not in the URL anymore. However the variables still follow.

Page one is making the link with the ID in it - which I understand is
automatic because that option is turned on on my server, however why do the
following pages not auto-add the ID as well, and why does it work even
without the ID?

If there is a way to set and access session variables without having the ID
ever
show up in the address bar, I'd prefer that method.

Thanks in advance!

--
Shawn Wilson