A SESX file is a session file, which is a session file and is used by Audition software. Adobe Audition is a professional audio editing program for editing, mixing and finishing. Audition was called before it was bought by Adobe Cool Edit Pro.
A SESX file only contains information about the files used, but no audio data. Therefore, a SESX file is useless on its own and Audition would crash with an error message when trying to load the non-existent audio data. You always need the audio files referenced in the SESX file. It is also important to save the tracks after a sound recording and not just the session.
Note that SESX files are version 4 (CS5.5) session files that can not be used with older versions.