I'll agree to the above about writing thoughts / feelings down to refer to in the session if needed. I do this a lot when I have a lot of mixed emotions going on. Otherwise, I end up missing something important and wishing I had remembered it.

I think you've already taken a huge first step in just acknowledging with your therapist that you need to have a conversation about your feelings. To me, the absolute hardest part about discussing my feelings about T was just bringing up the fact that I had any at all. Now that you know that door has been opened, I'd just start with something like "I'm feeling really anxious and embarrassed and I don't know where to start..." Your T will likely help you get started by asking a question or something else to get you thinking and talking. Just remember to breathe!