I don't "get" therapy.

I am not very talkative. I don't like talking about what I like, what I do or what I feel.

I don't chat.

...

Anyway, I try to answer the questions my T asks.

I am there... because I can't focus on studying, I get depressed, agitated, suicidal, I dissociate too much... (I grew up in a really dysfunctional family)

I have had... 4 appointments.

Maybe therapy doesn't work for me?

I don't get it, I don't get how therapy "works".

Could it be because of anhedonia?

Four appointments is barely scratching the surface. It takes a long time and a lot of work to get somewhere in therapy. You can tell your therapist that you would like to understand what your goals should be.

Give it time. Don't give up.

could be the depression, could be an awkward match between you and the t, could be that talk therapy doesn't do it for you, but like TheWell said, 4 sessions isn't a lot (unless you are doing brief therapy). If it is something you want to keep trying with, talk to your t about your concerns. you may benefit from a different approach...

I agree that you should ask your therapist to explain a little about the process and the effectiveness of therapy. I do not think that you need to get into detail, but you do need to find out enough that you are comfortable with it.

Talking therapy has been shown in many studies to be effective. It does require that both the client and the therapist commit to the process, and work together, which is often described as forming an alliance. This alliance builds over time, so do not expect to feel it immediately.
Another element that is regarded as very important for therapy to be effective is that both client and therapist believe there will be some improvement gained through the therapy. If you do not, talk with the therapist to better understand it, which may help.

I spent many hours in early sessions saying nothing, so do not discount the time spent saying nothing. It can be very valuable in allowing you to mull things over in a safe place/way, as well as getting small "nudges" from the therapist by way of a comment or question, say, to get your thoughts going in certain ways.

I think it's hard to make therapy work without talking. A therapist will generally take direction from you, so not saying anything makes the process stagnant. If you want to make something of it, you'll need to let your therapist know what you want from therapy and from him/her.

It's okay not to talk, but there does need to be a purpose to therapy and an understanding of what you can expect from your therapist and vice versa.

I found it hard to talk at the start. It takes time. I've found therapy really helpful.

I'm the same really difficult to talk, so I started a mood tracker where I could write what was going on and hoe I feel. My T's have found it very helpful in getting the conversations going without me having to rehash everything that is going on. It track, mood, anxiety, meds and sleep. The chart has helped me as well to see when things are really going off track.

I only can have 6-8 appointment.
...