On the start of the session, no matter what they will appear until the cookie is created on the visitors computer. After that they will not appear again until a new session is started/begins.
There is no reason to disable them, they won't affect any scripts or programs running, and a good 75%+ of the members scripts on the server probably are currently using PHP sessions.
If you don't want them, don't use sessions.. (The function session_start() initiates a session in PHP.)