A session doesn't need to be saved. What was meant, is that if you logged out of a KDE session, last time, say, then that option will be saved and presented to you, next time you go to log in. Same with a Gnome sessios, or what have you. It doesn't sound like you've had a successful login for anything other than Xfce, so far.
It sounds to me like you have a graphics problem, which is preventing anything more elaborate than Xfce rendering properly on screen. Is this black screen accompanied by a dark, X-shaped cursor pointer, wherever you move your mouse?