I'm finally going to a psychiatrist.

Hi...
I've been majorly depressed since more than a year now, and I'm finally going to do something about it.
I'll be seeing a therapist this week. But the thing is, i don't even know how to start up a conversation, let alone talk about my intimate feelings with a stranger
(Who in this particular case, will be judging every word i say)
This is a whole other plane of anxiety for me.
Can someone suggest something, as to how you even start talking about whatever the cause of your depression is, if you can't even pinpoint it yourself?