So how does therapy work?

Ultimately people come to therapy to feel better. And the way we do this (in Cognitive Behaviour Therapy) is generally by changing our thoughts and our behaviour. Our thoughts and interpretations of the world are central to how we feel, although therapy isn't about positive thinking, but rather rational thinking. Part of the therapeutic process for many people is to look at the evidence for thoughts that make them anxious, angry, sad, etc, and to challenge them. One way of challenging our thoughts is by changing our behaviour. To take a simple example, if I had a fear of being assertive, I would gradually start to increase assertive behaviours, and from this, most probably learn that there's not much to fear in being assertive. The hard part of this is managing the discomfort (anxiety) that I'd feel on acting assertively, but unfortunately facing fears is essential in truly overcoming them.

It's important to note that therapy is a collaborative process where client and therapist work together, and that clients have real input into the therapeutic process. Your therapist should give you an explanation of therapeutic techniques that would be suitable for your issue, and work with you to develop a treatment plan that you're comfortable with.