Use memcached, it's free, works well, runs on cheap *nix boxes, well proven
Memcached can be run on Windows for testing etc.
Various client libraries for .Net on memcached/wiki/Clients
And a pre-rolled session and cache provider if you don't feel like doing it yourself
If you are not familiar with *nix style OS's, download Ubuntu server image and burn to disc. Pop the disk into a empty machine with plenty of RAM and follow default prompts until finished (~30 minutes)
Then on the command line enter "apt-get install memcached"
Reboot to check it starts and all is OK and you are done