I've actually not replied to this one as you should all know by now I don't even use the product ;-)
I can guess though.
Start - this will issue a session_start(); command, which is required on every page that uses sessions (and on a lot that don't, so that the session information is preserved for a page that does use them).
Set - I'm guessing to set the parameters of a session - see http://au.php.net/manual/en/function.session-set-cookie-params.php
Unset - uses session_unset() to remove the values of all session variables. Rarely used, except for a logout function or similar. can also unset individual session variables.
Destroy - Usually used in conjunction with Unset. Destroys the session. Again, I only use this for logout functions...