Create nonclustered index on uniqueidentifier type
According to your sample query, you must have two separate NonClustered Indexes on Session_id column for both tables. Further it must contain columns that are being used by SELECT clause to avoid bookmark lookups.

Fill factor for indexes on uniqueidentifier: If only key column (like in your case) is uniqueidentifier then you can fill all the page (Fill Factor = 100), as there are no chances of value updates for this column.  

But drawback for index creation on uniqueidentifier column is that GUID is a wide column (16 bytes to be specific) and contains a unique combination of 33 uppercase and numeric characters and are randomly generated by SQL Server hence huge chances of page split and index fragmentation. Using NEWSEQUENTIALID()  (SQL SERVER 2008 and above) to insert values instead of NEWID() can resolve this problem.