There is definitely a difference between a therapist not working for you and therapy itself not working for you (or seeming like it's not working for you). Ask yourself if your therapist does (or doesn't do) things that bug you: interrupt you, not take you seriously, not keep therapy moving forward, etc. If you find the answers to these questions to be that your therapist is not satisfying you then, yes, find a new therapist.
But sometimes it can seem like therapy is not working. Especially if this is only your third session. I know it personally took me a few sessions to kind of "get the hang" of therapy... I'm better now at knowing what to talk about and how to get the most out of my sessions, but at first I had a really hard time.
That said, therapy is not for everyone. I personally believe that just about anyone can get something out of therapy if they find the right therapist and type of therapy. But it's possible that for you personally therapy isn't right. I don't know anything about your situation so I couldn't tell you if that's true for you or not.
I wish you the best of luck!