It is completely normal to feel anxious at first, particularly if this is your first experience of therapy. It can feel quite unnatural to come and talk to a stranger about your deepest feelings and struggles! I want you to know that I have a lot of respect for anyone brave enough to come for Counselling. I have been for Counselling myself in the past and remember what it feels like to sit in the other chair.
It can take a while to get used to the situation but almost all clients report feeling significantly more at ease as the session goes along. It can be quite a relief to talk about difficult issues with someone who is understanding, who clearly withholds judgment and with whom you do not have an emotional attachment.