There's a number of possibilities-- one is that your AS400 is timing you off, and so your session isn't there anymore.
Another is that for some reason your action preceeding the error is passing an invalid or missing sessionkey-- all Screensurfer requests require a SessionKey, which is automatically added if you generate a URL using the TEMACRO TRANURL or generate a FORM using the TEFORM tag.
When you see this, you can quickly check the trace in the DevCenter, using the View Trace Admin menu option, or the View trace button in the button bar (looks like a page).
In the trace, you should be able to see the web hit causing the error, and figure-out if it is one of your links not properly passing-in the SessionKey.
For the most up-to-date version of Screensurfer, you may also want to download ftp://ftp.ieinc2.com/pub/surfer/T2_0_5O.zip because a few builds back we added automatic tracing of all HTTP input values.