Magento: How to remove the SID parameter in you store URL?

There two this we can do here.

1. Modify the setting in your magento admin.
* Go to System > Configuration > Web > Session Validation Settings and set the value of Use SID on Frontend into No

2. Sometimes the setting from your admin was cache and hard to flush your magento cache coz of many reason. Slowing the page.
To do this, modify the your core magento class app/code/core/Mage/Core/Model/App.php and set the value of $_useSessionInUrl into false. Since the default is true.

protected $_useSessionInUrl = true;