You have to configure shared sessions between instances and shared documentcache folder.

It's all explained here: https://support.gleamtech.com/community/a6194/info-using-documentultimate-on-azure.aspx 

For shared sessions you can use redis and for documentcachefolder you can use D:\home\DocumentCache

Regards

I am not using Azure services. My sites are hosted on Windows servers.

Even if you don't use Azure, that link has good information for you. It says that you need 2 things to make it work:

To share sessions between your servers you can use any distributed session provider. Most common are redis and sql. Try to search "asp.net redis session" or "asp.net sql session" on the web to know how to do it.

For DocumentCache the easiest way is using a network shared folder. This way you just have to configure your CacheLocation property to the UNC path of the network shared folder. If you don't have any, you can use Azure Blobs or Amazon S3. Take a look at the examples here: https://docs.gleamtech.com/documentultimate/html/P_GleamTech_DocumentUltimate_AspNet_DocumentUltimateWebConfiguration_CacheLocation.htm 

Regards