Sometimes you don't. It's best to have goals in therapy and life. That's how you know you're making progress towards them. Without them it's not possible to know. Goals don't have to be strict or short term or set in stone. They can be flexible and more general (become a better father), long term (keep in shape), and they can change as priorities change (being a better more caring mother, to being a mother who can balance school and housework better).

Therapy is a professional service provided to you for a payment. The therapist should not force things on you, particular goals, particular worldview. Of course in reality that does happen a bit, given that therapy has its own values and therapists can't just do whatever you ask them to. They have their own vision of what it means to be healthy or sick, what it means to live a good satisfying life, and how to get there, etc.

Still, when it comes to big picture, you're the one in charge. Usually after a number of sessions, after T learns about the client, some goals naturally emerge. Sometimes it takes longer, especially if a person is undergoing crisis. Sometimes T helps the person actually set goals, if they have no clue, if they're so depressed their life has no direction and they think they want nothing out of life. But when the goals are agreed upon, then you can check your progress on regular basis.

When it comes to CBT, they have their own schedule about how long it should take roughly, for instance, to deal with, say, height phobia. But most other forms are therapy are more flexible. So depending on the issue, you might want to review your progress every month, six months, two years, whatever. One of the wonderful things this does is that when progress has been made and you can view it, it can give you a nice confidence boost in your own ability to improve and in the particular kind of therapy.

Because when you're in it, in the middle of it, hard to know what's going on. But to look back, to see where you were emotionally, mentally, how your relationships affected you, and then to look at where you are two years later, it gives you that aerial view of a map, and can be a nice thing to remember even during those days and sessions that you feel like nothing is going well and therapy is another hopeless pointless expensive thing that you're failing at....