How are 5 and 6 Series MSO setup files and session files different? How should I use them?

The 5 and 6 Series MSO setup files contain all instrument settings, user-configured analysis, and reference waveforms, so they provide an easy way to return the oscilloscope to a known state. For example, if you want to build a library of standardized tests, you would set up the oscilloscope for each test and save each setup. Then you would recall each setup, on the same or compatible oscilloscope, to repeat the analyses on acquired signals.

The 5 and 6 Series MSO session files contain a setup file as well as all acquired waveform data. Session files enable you to move analysis activities off of the oscilloscope. When session files are recalled, the instrument is returned to its previous state, with waveform data also recalled into acquisition memory, but with the acquisitions stopped. If you have used any of the built-in demos (Utility->Demo), you have experienced session files.