From the very start with my therapist told me that I could use the employee bathroom to change into women's clothing for my appointments. The first couple times she would stand outside the door and then when I was ready would make sure no one was in the hallway as we went to her office. As I became more comfortable being dressed in public  I eventually just came came in already dressed. If you are very uncomfortable with going in already dressed you should ask if something like this would be possible at least until you become more comfortable.

almost forgot wear what you feel most comfortable in. There is no need to impress your therapist by being stylish.

Browse some things online , in catalogues, and in thrift stores. Just see what is "you."
If you're anything like me, you've been doing this for a while, and already have somewhat of an idea of your style. If so, go get em! If not,  try browsing those catalougues and then go shopping! It always helps to go with a girlfriend, too. She can reccomend things for you and act as your "cover" if you're nervous about being in the women's section in male mode.