As Coleman's answer suggests, the most common cause for this I've seen is a mismatch between the URLs CiviCRM is configured to use and the ones it actually uses.
Other places to check are -
- your webserver configuration (eg a canonical URL redirect)
- the
CIVICRM_UF_BASEURLconstant incivicrm.settings.php - Administer > System Settings > Resource urls as Coleman mentions
If these various settings don't match, CiviCRM doesn't recognise / receive its session identifiers, and the result is this confusing (and often reported) error message.