It means the "Object reference not set to an instance of an object" exception happens in one of your provider's methods (for example in the Initialize method). There's a bug in that code.

So you can either put a breakpoint in there and debug, or surround overridden methods with a try catch that can transform the exception in text, like this:

public class YourSessionState : SessionStateStoreProviderBase
{
    public override void Initialize(string name, NameValueCollection config)
    {
        try
        {
            // your original Initialize code here
        }
        catch (Exception e)
        {
            throw new Exception("Error in initialize: " + e);
        }
    }
}

If you put the .PDB files aside the .DLL, you should now see the error line number.