In the future please post which user interface mode is used by you, the ribbon mode or the toolbar/menu mode. That would help me to guide you to the appropriate items.
You have to open the Workspace Manager view by clicking on ribbon tab Layout on checkbox item Workspace manager or in menu View on menu item Show Workspace Manager and select the tab Sessions. Double click on a listed saved session to load it or right click on a saved session and click in context menu on Load Session. The saved sessions can be even organized in groups which is the reason why the saved sessions can be opened only via the Sessions tab of Workspace Manager view.
Well, a saved session can be loaded also with a command line parameter, for example on running UltraCompare from another program without or with full qualified file / folder names to define the options to use.
Best regards from an UC/UE/UES for Windows user from Austria