You don't have to do anything. But if you want to be ahead of the game, spend 10 minutes brainstorming your #1 problem and crystallizing it into one short sentence. That way you can effortlessly bring it up when asked.
But again, you don't have to. The psychologist will ask questions that should eventually unravel challenging parts of your life and hopefully lead to some thought-provoking discussion. Just go in with an open-mind, and be optimistic.