Welcome to the forum. I am sorry to hear that you aren't getting what you need from your therapy sessions. Paw Prints has offered some good suggestions about writing down what you need. I also suggest goal setting which can be a part of your therapy. You could ask your therapist to work with you on defining your treatment goals for a session. This way you know what the plan is and you can both work out how to get there. Having strong goals are important. For example,"I want t feel less anxiety by February 2020 as demonstrated by being able to go out socially with out stressing out before hand". 'SMART' goals are Specific, Measurable, Attainable, Realistic and True (to yourself). By setting some goals around what you want to achieve in therapy will be helpful in what direction you will take in treatment. Sometimes treatment can include other avenues that complement therapy such as Mindfulness or using exercise. There are even some online therapy tools like a program called Mindspot that is a self directed online form of CBT. www.mindspot.org
Some people really benefit from learning about different therapy techniques in their own space and time which can help connecting in the therapy techniques delivered by a psychologist.
Also, as Paw Prints has said, it can sometimes take a few go's to find a therapist that you 'click' with. It can be frustrating to have to wait and make more appointments and tell your story over again but when you find that right person or right technique, it is definitely worthwhile.
You are taking so many great steps towards your own health and healing by going to therapy and getting support here on the forum. This is a hard process in itself so please take time to acknowledge how far you have come and that you are not alone in your challenge in getting the right support.
In my experience, persistence is key as well as being clear about what it is you want from therapy. If your current practitioner is unable to deliver then discuss with them that you would like to seek another opinion. You are worth it.
Wishing you the best possible outcome,