Seeing a psychiatrist/counsellor can be a mix bag, as the other members have mentioned here already. With that said, it is my belief that trying anything new with skepticism prevents you from getting the complete experience and receiving full benefits.
Based on the experiences I've had with psychiatrists, the first one or two sessions have been mostly the same for all of the ones I've worked with. I reckon, just like a general physician would have a list of standard questions to ask for you if you go to a walk-in clinic, psychiatrists also have a list of questions that can help them with initial diagnosis. A lot of these questions will ask for very intimate details that you may feel embarrassed about sharing. All I can say is, be as honest as possible and let them know if those questions bother you. Any answer can help, as long as it's truthful.
They may ask you to start on medication right away, and I know that can be intimidating for someone who's never been on meds before. That was something that i found tough to accept at first as well, but the psychiatrists helped me realize that the treatments won't work unless some of the symptoms of depression were treated first (such as lack of sleep and inconsistent diet). With that said, I'd advise you to just have confidence in your counsellor and try what he/she asks you to try, though don't be afraid to ask questions about the med and why he/she is recommending it. Another thing to keep in mind with medication is that some of them will take weeks before the effects start showing.
With time, you will realize that either your counsellor is good for you or not. I'd recommend you to work with him/her for at least a month before you seriously consider switching to another counsellor. There are undoubtedly counsellors out there who aren't as flexible and try to impose same method of treatment for every patient that they have. However, I don't think you should be too quick to switch your counsellor unless if he starts ranting some nonsense or things that are causing you more pain than recovery. A lot of psychiatrists/counsellors appreciate feedback, so make sure to let them know if whatever they are trying isn't working for you. Again, be as open and honest as you can, and the treatment will advance much faster that way.
Anyways, best of luck. I hope you find what you are looking for with your counsellor, but keep in mind that you will also find things you may never have expected. Just be open minded and you will get a lot more out of it than you anticipated.