Sesx files into audio

The .sesx file is simply a text file telling Audition where to find all the audio files and what to do with them as Steve mentions.

If you're opening the .sesx file and it's loading the audio files that's a great sign!

To find the location of the audio files you could open the .sesx file in a text editor and search it for the phrase <files>

This is a list of all audio files in the session and their location on your drive. Example below:

If you made a recording in Multitrack, there will be a .sesx file with it, but that doesn't contain any audio at all. But if you open that .sesx file and everything was recorded normally, then the session should re-appear. If this happens, then your audio is where the session stored it, and you haven't lost it. All the .sesx file does is to contain the information about the session, but not any of the audio itself.

If you find it, then you have to export it to whatever format you want it in. If, on the other hand, you recorded your audio in Waveform view (I don't think you did, because that wouldn't create a .sesx file) and you didn't save it, then it's lost.