No it will not give each user session an IP address, but please navigate to the link below to get an explanation of how WinGate handles Terminal Servers; there are also some images of the interfaces.
http://www.wingate.com/showfeature.php?cat=3&feat=50
Please note, you will need an enterprise license to have this feature enabled. Our free 30 day trial is an enterprise license. Differences between the Standard, Professional and Enterprise license can be found at the link below.
http://www.wingate.com/wingate-licensing.php