Massage does not have to hurt to be effective, in fact introducing more pain into an already stressed situation may even make things worse. So find out where your threshold is and don't allow your therapist to cross it. You are both responsible for the outcome of the session. Therapists are trained to work through clothing or directly on the skin, so you can choose to remove only as many clothes as you feel comfortable with. You can expect to remain covered by a sheet or towel throughout the massage, except when a specific area is being worked.
Massage therapy is in no way intended to diagnose, prescribe or cure.
There are contraindications for receiving massage, so by all means use common sense and be prepared to discuss your health in confidence with your therapist.