Hi There!
1.Do the single sign on just require only browser cookies and nothing else??
Yes, but I think your application also uses Validators and other .Net components that embed javascript code.
2. If Cookies are the only thing needed, then will it be secure secure?
Encrypted cookies are safe, and even asp.net authentication uses it.
3. Will it be scalable for 5000 users at an instance??
It's hard to say. It depends a lot on wich encryption algorithm you have used, and the resources needed by it. I suggest you to use a hash in this cookie when you don't have to read all the content again. So, you have only to see if there is a match on the hashes, instead of decrypting all it content every postback. I also suggest you to use an .net profiler to calculate the optimal hardware to support the users you have to.
3. DO we need SSL certificate? Is it mandatory?
This is not mandatory, but it's a good idea to force it on the login process (only there) to ensure secutiry on credentials transmission from the browser. For example: Gmail uses https only at login. The other pages are accessed by HTTP. Force HTTPS on every page is a bad move.
4. Dont we need any database to save sessions and track them between applications?
this is a good aproach, and the asp.net applications can be configured to use session persistence in SQL Server. But this is not mandatory on single sign on. If your encripted cookie has everything the applications need to know, I think the session persistence on database will not affect your strategy. This strategy is useful specially in a web farm, when the original server where you opened the session is down and another one will resume this session.
Good luck!