The session journal is a feature of SPSS that you can ignore, almost all the time. However, when circumstances dictate, you can be very glad that it exists. The session journal is a file, called spss.jnl, which by default stores all the commands (and a few other bits) that you have ever run in SPSS on that computer.
There are two main uses for this: First, when SPSS crashes (and SPSS will crash) after you have run a long and complex series of transformations, you can find and redo all the commands that you ran. Second, when you come back to an analysis that you wrote about, or a variable that you created, you can examine the session journal, and find out exactly what it was that you did, and on what data file.
By default, spss.jnl, on Windows systems is stored in the temp folder. You might want to change this to something more accessible.