Are you sure that is the correct url? It sounds like you put in the wrong folder path under the server option. Example, you may have to enter in /public_html/phpsessions if that is where you want it to be.
Hi. You have to have a folder called /phpsession in the root folder /htdocs. You upload the files to the /phpsession folder and you also have to set your path under the php scripts. Now everything is working fine.