Hi Mike,
ORACLE has packages on the database level, and they perform exactly that way - initialize themselves on per session basis. I'm afraid that M$$QL doesn't have that feature, at least not in version 2000. There is something similar, called context info: you can store 128 bytes of information on per session basis. But, if you have to query it, I think that it reads a system table.
Regards,
Goce.