Setting a session in Drupal is easy, everything is set from the Drupal boostrap, all you need to do is to set it and get it. Like
$_SESSION['zip'] = $form_state['values']['zip_code'];
and latter you just get value on some page like
$view_filters['field_zip_range']['value'] = $_SESSION['zip'];
and it works. Just be careful of caching and varnish and similar things as they sometimes do not cooparate.
Session is set on server side.
For client side, you use cookies and set it like this
user_cookie_save(array('key'=>'value'));
print $_COOKIE['Drupal_visitor_key'];
so in an example this would be
user_cookie_save(array('zip'=> $form_state['values']['zip_code'])); to set it
and
$view_filters['field_zip_range']['value'] = $_COOKIE['Drupal_visitor_zip'];
to get it.
And if you want to access it via JS, you call Drupal.visitor.key, or Drupal.visitor.zip in the case above.