Why does therapy hurt so much?

Had another session with the therapist today. He said he thinks I am getting better. I'm not sure how he knows that. I wish I could see myself through his eyes. We talk about stuff, like what I've been doing since our last session. All we do is talk. I think I'm waiting for him to tell me what I'm supposed to do to get better, but he doesn't. And after I leave I just want to cry. I'm not sure how this is supposed to be helping.