What should I expect at the first appointment?

In your first session, the therapist typically will ask certain questions about you and your life. This information helps him make an initial assessment of your situation and to better understand your problem.  

Therapy is a team effort so it is important to take an active role in your sessions.  To help with this be prepared. Before you get to the session, know how to describe “what’s wrong,” and to describe your feelings about your problem.
Ask questions. The more you understand the counseling experience or how counseling works, the more comfortable you’ll be. Ask questions about the therapy process, and ask the therapist to repeat anything you don’t understand.
It is best if you are open and honest about your feelings. A lot will be going through your head in this first session. Listen to your own reactions and feelings, and share them with the therapist. You’ll both learn from these insights.
Be sure to go to your first session with realistic expectations. Therapy is not a quick fix for your problem, rather it is a process. With some effort on your part and a strong relationship with your therapist, it can be a successful tool toward resolving problems.