Hi David,
This is fairly normal, and happens because of the way browsers work.
What's happening is this;
a) when the browser asks for the first page then the page is sent from the server to the browser. At this time the server sends the browser a "cookie" which contains the session ID, which the browser then uses for all future requests.
b) That's cool and all, but hides a small problem. The problem is that stuff embedded on the first page (CSS files, JS files, Images and so on) are fetched with a _separate_ call to the server. And they are often (especially for CSS and JS) fetched _before_ the original page is complete. So at this point (on some browsers) the new cookie has not "kicked in" yet. So these "simultaneous" requests are passed without a cookie, hence triggering the "new session".
Cheers
Bruce