Hi, Shannon.
My opening line was, "I am pretty sure I am transgender." If that fits for you, feel free to use it!

That will tell your therapist what questions to ask, and they will guide the conversation from there. The first question will be "Why do you think that?", so it will be helpful if you have a good idea what some of the answer is.
The therapist will ask about cross-dressing, about daydreams, about times you wished you were a girl. Don't be embarrassed: just tell the truth. They have heard it all before.
I was so convinced that I was some kind of weirdo freak. Turns out I was pretty middle-of-the-road trans. My story was just like dozens that she had heard before. I had nothing to be embarrassed about.
Good luck! You will be fine.