Sessions are one of the reasons Capture One has traditionally been so popular in professional photography. Instead of putting every photograph you've ever taken into one enormous library, a Session can represent a particular job, shoot or project.
When you create a Session, Capture One provides four core locations: Capture, Selects, Output and Trash. In current versions of Capture One, these locations appear within the Library under Shortcuts, but the underlying Session structure remains the same.
Capture
This is the main location for photographs belonging to the shoot. When you're importing files into the Session, this is generally the logical place to start.
Selects
This can be used as a destination for images that have been promoted from the main shoot into a more refined selection.
Output
This is the logical destination for files you've processed or exported from the Session.
Trash
Images moved out of the working selection can be managed through the Session Trash. Be aware that permanently emptying the Session Trash can delete the underlying source files, so this is one area where it's worth slowing down and understanding what you're doing.