I'm going to try and read into your situation a little.
you can go about it casually at first, just see how it goes. you don't really know how the session will go or anything at first, so it's hard to plan the outcome. as long as you are just talking about how you feel there is no reason to fuss about coming out just yet. your therapist may see your delay in wanting to come out as a negative as well, so be aware of that aspect of taking it too casually.
I suspect your parents are paying for this therapy and that this is probably your best option right now unless you decide to come out to them and seek a gender therapist instead or pay your own way. ideally what you need is someone that specializes in gender since that is probably the root of your "confidence" issues in the first place but that is a more complicated path at this time since it would involve coming or coming up with money.
you would have to research the therapist to see if they have any experience in this, either that or try it out and see how it goes. even if they aren't experienced in this they may be able to refer you to someone who is, and depending on the situation it may be someone else who is mainly "confidence issues" but dabbles in gender or sexuality.
as for what you can do in the meantime. relax. don't complicate things more by stressing out. your therapist is actually going to do most of the work at first, just be honest with yourself and the therapist. it's rough leading up to it with so many emotions and thoughts going through your head but just relax. I found that some free writing helped me collect my thoughts a bit. just random words and sentances that came to my head while I was doing some inner reflection. after you write stuff it's important to go back and read and see how you feel about what you wrote now compared to how you were feeling when you wrote it. that's just what helped me, your mileage may vary

another thing you might consider (since it's a liberal area after all

) is to check out some postings at the local GLBT center.