Microsoft Knowledge Base Article 840695 contains the following summary and introduction:

SUMMARY

This article discusses how to provide high availability for the Terminal Services Session Directory server on a server cluster. This article also provides a brief overview of the Terminal Services Session Directory service.

INTRODUCTION

The Terminal Services Session Directory service is a database that keeps track of sessions on terminal servers in a cluster. The Terminal Services Session Directory service also provides information that is used at connection time to connect users to existing sessions. Sessions on all servers in the cluster are stored as records in the database. This database is updated and queried when users log on, when users log off, or when users disconnect from sessions.

The Session Directory server can be any computer that is running Microsoft Windows Server 2003 Enterprise Edition or Datacenter Edition, that is visible on the network, and that is running the Terminal Services Session Directory service. As a best practice, the Session Directory server should be a highly available network server that is not a terminal server.