WPF applications are stateful. Many WPF applications typically use WCF backends, and in this case state/session is managed through the service. So if you have multiple clients (with login capabilities) connecting to the same service, the service has mechanisms to identify each client and to maintain client-specific session state. There is no absolute standard to doing this and it's up to the developer to implement this however they want to.
That said WCF includes some kind of built-in session fucntionality (far simpler to what you have in ASP.NET). You can read about it here: