Yes, set timeout to 30 and cookieless to true.
The "mode" tells IIS where to store the session values and can be changed to a couple of other settings. I don't know exactly what they are. I think "InProc" basically means the session values are stored in memory on the IIS server. It can be changed to SQL so that the values are stored in a database. This is useful if you had load-balanced (multiple) servers. You couldn't store the values in memory on the IIS server, as the user may be served by a second or third server next time they request a page. That server wouldn't have access to the memory on the first server. Storing them in a database provides a central area that all servers could access. On shared hosting we don't have that problem though, as our site is only served up by one server.
I don't know what you mean about retrieving data from a database. Sessions are for storing values you've already retrieved. You retrieve them from a database, then store them in a session variable (if you need to).
You store a value in a session variable by saying something like (in c#):
Session["username"] = "watson";
Then until your session timed out or the user left the site, Session["username"] would always equal "watson".
In order to know which Session["username"] belongs to which user (if you have 10 users on your site at once there will be 10 session["username"]'s available at once), IIS gives each user a SessionID. This will be something like "zlsvosmqxtrmhb55b1sq4vmu"
Using "cookieless" sessions, your URL would then read
http://www.mysite.com/zlsvosmqxtrmhb55b1sq4vmu/mypage.aspx
When you request Session["username"], IIS looks up the username for the sessionID "zlsvosmqxtrmhb55b1sq4vmu". Without this ID it would have no way of knowing which user is which.
If you don't use "cookieless" sessions, this sessionID has to be stored in a cookie on the client end. When you try to retrieve a value stored in a session variable, IIS requests the sessionID from the cookie, then looks up the "username" value for that sessionID.
This is probably getting confusing. I'll stop there for now.