Usually the psychiatrist deals with the physical side of mental illness. They are medical doctors and can prescribe medications. Some of them will also do a little therapy, but I don't think they do that much and it's not their major focus or training. A psychologist is trained in the mental and emotional side of mental illness as well as human nature and they do more therapy. There are also therapists who do the same thing. (Someone else has to say the difference between a therapist and a psychologist besides the degree and amount of education.) There are lots of different therapy styles and methods so if the current psychologist is not working out for you, try another one or a therapist instead. How many visits have you had with this psychologist? You usually can't judge by the first visit anything other than whether you might be able to connect (which is an important first step), but even then more than one session is sometimes needed to get the ball rolling.

This page may help you out with definitions:
Guide to Psychology