Each time you use JMP is called a session. A saved session is a JSL script that re-opens documents and re-runs analyses to restore JMPs state when the session script was saved. A saved session can help get you back to a previous state without having to manually re-open files and re-run analyses.
If you are an advanced user, it is important to understand what session information is preserved in a saved session. Any documents (such as data tables, scripts, and journals) that have been saved are re-opened. JMP windows that support script saving are re-run (equivalent to clicking the red triangle in a report and selecting Redo > Redo Analysis). Side effects of running scripts, such as global variable values or custom windows, are not saved. The state of highly interactive analyses is also not saved.