I feel kind of uncomfortable going to counseling

[Der/die AtheistIn]

You seriously need to get over this fear if you want help. Any ethical professional isn't going to violate that trust. The only time they ethically do that is if you say things that are physical threats to others, or admissions to violence to others. So if you are not threatening anyone with violence you should have nothing to worry about.

If they are pointing you to a religion then you can simply tell them to skip it. If they keep pushing it, then they are not being ethical. 

There are doctors and even psychologists whom hold a religious belief, but do ethically leave it at the door. If they cannot honor your wish to leave religion out of the therapy, then you should find someone else.

Thank you very much.
One more question, If someone tries to convert you to a religion, how do you politely tell them that you don't want to. I personally don't feel like I have to tell my therapist about my belief at all. If that will be the case, how can I tell him that I don't want to express it?