In the GUI, instead of "Session", it is now "DataDir" (with "Switch" and "Read" next to the "DataDir" label).
You can start AFNI with multiple directories, as in
afni A B C
which will read data from the 3 directories named A, B, and C. Then you can switch among them with the "DataDir Switch". If you read in more than one directory, you can also find in the "DataDir Switch" chooser something called "All_Datasets" (at the bottom). You can switch to that, which will allow you to overlay a dataset from directory C onto an underlay from directory A (for example).
You can also put the names of datasets on the afni command line. These will show up in a DataDir called "fromCLI" (CLI = Command Line Interface).
