HTTP is a stateless request-response protocol. In other words, client sends a request and the server responds. The state of client and server are not maintained or altered by the exchange and no record of the request is kept.
For implementing flexible business transactions across multiple requests and responses, we need two facilities:
1. Session - The server should be able to identify that a series of request from a single client from a single working "session".
2. State - The server should be able to remember information related to previous requests and other business decisions.
ASP.NET State Management includes:
1. Server side state management
Application, Session, Cache, Profile are objects used to manage
state at server side.
2. Client side state management
Cookies, Querystring, Hidden Fields, ViewState are example of
Client side state management.
You must read MSDN online pages for "ASP.NET State Management"