An inventory session represents a specific period in which you count all of your inventory. If you count inventory over multiple days and/or across multiple locations, those should still be part of the same session. You should not close an inventory session until you are done counting all of your inventory.
For example, if you do a monthly inventory, you should have one session per month. If you do weekly inventory, one session per week. The date and time you assign to the session will be used for all your reports and will represent the last known quantities for all items counted at that time.