The therapist will be in a room with your child and basically play games. The games are geared towards their recognizing sounds associated with the thing they are seeing/saying. Sometimes you may have a hard time understanding how these games will help your child, but they do work. Keep an open dialogue with your therapist so you know what's going on, what he/she thinks of your kid's progress/problems, and what each exercise is geared towards. We also were given homework with flashcards.
My son had therapy starting at about 19 months until he was 3 (aging out of the early intervention system). I did fight to get him preschool, 3 half days a week. But our school district didn't offer that option. If you can afford it, put him in pre-k so he's around other kids who talk.
I will tell you... it will get better and he'll be fine.
I had a lot of people tell me not to even bother getting him evaluated at 18 months. Boys talk later, blah blah blah. I'm glad I did it, but my son wasn't talking at all. Now, I can't shut him up! It's not the end of the world that you're starting later. Stop beating yourself up. Therapy will be fun for him if he has a good therapist. Don't be afraid to change therapists if you need to, but give the exercises a chance to work.
EDITED: I should add, if the delay isn't significant to get him preschool, it's not that bad. Dropping beginning or end letters is standard stuff. At the beginning, it's called "fronting." And, if it makes you feel any better, I just spent a full minute of repeating to realize my son was asking for his "magic mirror" and not "max a meal."