A window station is an object that contains a clipboard, a set of global atoms and a group of desktop objects. Only one window station per session is permitted to interact with the user. This window station is named "Winsta0." Every window station belongs to asession. Session 0 is the session where services run and typically represents the console (pre-Vista). Any other sessions (Session 1, Session 2, etc) are typically remote desktops / terminal server sessions, or sessions attached to the console via Fast User Switching. So to summarize, sessions contain one or more window stations, and window stations contain one or more desktops.
     You can picture the relationship described above as a tree. Below is an example of this desktop tree on a typical system:
- Session 0
|   |
|   ---- WinSta0           (interactive window station)
|   |      |
|   |      ---- Default    (desktop)
|   |      |
|   |      ---- Disconnect (desktop)
|   |      |
|   |      ---- Winlogon   (desktop)
|   |
|   ---- Service-0x0-3e7$ (non-interactive window station)
|   |      |
|   |     ---- Default    (desktop)
|   |
|   ---- Service-0x0-3e4$ (non-interactive window station)
|   |      |
|   |      ---- Default    (desktop)
|   |
|   ---- SAWinSta          (non-interactive window station)
|   |      |
|   |      ---- SADesktop (desktop)
|   |
- Session 1
|   |
|   ---- WinSta0           (interactive window station)
|   |      |
|   |      ---- Default    (desktop)
|   |      |
|   |      ---- Disconnect (desktop)
|   |      |
|   |      ---- Winlogon   (desktop)
|   |
- Session 2
|   |
|   ---- WinSta0           (interactive window station)
|   |      |
|   |      ---- Default    (desktop)
|   |      |
|   |      ---- Disconnect (desktop)
|   |      |
|   |      ---- Winlogon   (desktop)