I see a lot of people are having problems with the sessions.
Maybe you should try this:
In the .htaccess file make sure to remove the following:
# No subdomain, redirect to subdomain
RewriteCond %{HTTP_HOST} ^yiiframework.co.il$ [NC]
RewriteRule ^(.*)$ http://he.yiiframework.co.il/$1 [R=301,L]
# WWW to subdomain
RewriteCond %{HTTP_HOST} ^www.yiiframework.co.il$ [NC]
RewriteRule ^(.*)$ http://he.yiiframework.co.il/$1 [R=301,L]
Obviously this will not work in your case.
Then in the protected/config/main.php file
You should see several occurrences of the following:
'domain' => '.' . $current_domain
Unless your testing this under a sub domain you should replace every occurrence of the above code to the following:
'domain' => $current_domain
By just removing the dot infront of the domain name the session should work. But still i am not sure if this will work under ‘localhost’ as the domain so you should try setting up a virtual host in any case.
Hope that helps.