When I run at embedded IE, it won't clean the $_SESSION[] variable.
Then, I run at External IE,if I use the same IE window,the $_SESSION[] won't clean,too.

But if I close the IE window(nusphere will open a new one),and the $_SESSION will be a new status.

It mean the $_SESSION[] will not clean.

What should I do?

I'm not sure what you want to accomplish. If it is clean session you need, just run appropriate php function to start new session. Normally, applications have Logout link or something like this to cleanup session.
Closing IE window or tab may have and may have no effect. Temporary cookies are always belong to runnin process. For example:
if you have IExplorer.exe that has 3 windows opened, all the cookies in them will be the same until you close them all or finish the process. While cookies are the same, you will get the same session too. If you work with embedded IE, you just can't cleanup cookies by closing IE tab, you need to finish process (PhpED.exe).