On the first visit the therapist will probably let you just tell your story however you feel like telling it; the therapist needs to get a feel for who you are. On subsequent visits expect the therapist to help you focus on specific areas that you need to talk about, and expect the therapist to assign you "homework".
As others have said - you only have a short visit with the therapist (it goes by unbelievably quickly!) so think ahead about topics you want to discuss to avoid wasting time on topics that are of no value. I always think of a few things to bring up on every visit and still we wind up talking about something totally different every time

but I am prepared if we hit a lull in the conversation.
Mainly, just relax and tell the therapist the truth - it doesn't matter how embarrassing it is to you; the therapist has probably heard it before from someone else and the therapist is a professional there to help you understand who you are. The therapist is not there to judge you; only to help you, and that can't happen without you being honest.