I love the sacrament of confession. It's very therapeutic and spiritually healthy. I've only been to confession 3 times in my life (the first was many years ago, and the other 2 were quite recent. I seriously intend to start going regularly). Here's what you basically do: First, you have to examine your conscience and contemplate your sins. Then, you go in and confess. This involves stating what sins you've committed (primarily mortal sins) and how frequently you commit them. Confession, when sincerely done, is an apology to God, an absolution, and a kind of strengthening that helps defend one from future sin.
The priest is always understanding and offers good advice. I didn't know what I was missing until our confirmation class was kind of pushed into it.