Hi marc, it could be a couple of different things. Firstly make sure you have cookies enabled in your browser, I’m assuming you do, but it’s worth checking.
Now check phpinfo() on your host, find the session settings and look for anything odd. Most likely your session.save_path either doesn’t exist or your script doesn’t have the correct permissions to write there.
Depending on your host it is probably something they will need to set, so if that is the problem get in touch with them and ask. If they won’t let you use sessions then yes, you probably need a new web host.