With my first psychiatrist (recommended by my GP) I had a similar setback - much angst. Five sessions (over 3 months) followed. Regardless of the problems I was having - feeling very female and all - he kept pointing out my masculine demeanour and presence, right up until the end of the third session when he said he was working with the hypothesis of late-onset psychosis... The last sessions amounted to me trying to challenge his hypothesis, even going over the small print of the DSM 4 in his office.
The thing is, I knew this wouldn't have happened with someone who was a bit more trained in gender issues - especially when assessing certain physical symptoms. But for some reason I felt I had to convince him. Even though I was sure I was transsexual, something kept pushing me to pursue my own intuition on the matter. Still, he really shook me up, and I knew that his approach was actually causing me to become further frustrated, depressed. I left after the 5th session (after he prescribed anti-psychotic meds)...
About a half year later I was jetted off (via State government health department funds) to a bigger city in Australia every month to see someone who was experienced in these matters. The distance and other expenses incurred was a real headache - but at least I felt I was in better hands. Looking back now, often I felt that first "run in" was tantamount to abuse - especially in light of the latter treatment.
Some advice: do some research first, regarding a therapist's or psyche's experience in these matters - use the internet, do some email enquiries. Don't, for the sake of good will, agree to anything "off the bat" with your GP, or go somewhere because it's closer - or because it's funded through medicare..