I would hit the library or bookstore and find something specific about self esteem and anxiety that I could work with. Or here's a booklet that might have ideas you could use:

http://store.samhsa.gov/shin/content...5/SMA-3715.pdf

Or, here's an anxiety log you could start and share with your T: http://www.drnataliemasson.com/image...ring%20log.pdf

Find something you would like to explore and share it with your T and see how T can help?