After one script has called session_start(), the $_SESSION variable is available anywhere after this, in included files as well.
As for why to include files, it's usually to either break up a large script or share common code between multiple scripts. A good example of this is that many sites will have a common.php file or something of the like which performs any required preliminary tasks such as defining variables/constants, including more files, connecting to the db, and anything else relevant to the site.