Your test page must also have 'session_start()' at the top before any output. For compatibility with old versions of IE, you'll also want to add the P3P header.
index.php
<?php header('P3P CP="CAO PSA OUR"');
session_start();
$_SESSION['gallery'] = 42;
?>
<!DOCTYPE html>
<html>
<h1>Setting cookie!</h1>
<a href="/test.php">test</a><br>
<html>test.php
<?php header('P3P CP="CAO PSA OUR"');
session_start();
$value = $_SESSION['gallery'];
?>
<!DOCTYPE html>
<html>
<h1>Getting cookie!</h1>
<? echo($value); ?>
<br>
<html>