A new session or one that the user has been using? It is common to put a special attribute in the session on login so you can remember the user. You could apply this technique to see if the user has already been "welcomed" without loging in as well.
The presence or absence of a session is not something you should be checking for. This is a common novice error. See Jeanne's post regarding putting scoped variables in the session and testing for them.
P.S. Unless you do something overt, a JSP will always have a session created automatically.