No, you don't always cry during a session. However, crying can be something you do for many different reasons. It does not necessarily mean that you are sad. Some people cry out of joy or because they have been touched by a strong emotion. Some people also cry out of anger or frustration. Sometimes a therapy session can also be about enhancing joy in the client's life. Then there may be more laughter in the room. Therapy can take place in many different ways.