Do i need to wear anything specific?
All physio's I've seen want the patient's body visible to make assessment. That might include seeing the spine. I wear Lycra shorts and a modest bra. Sometimes the back and shoulders get worked on, so a bra that does up at the back is useful. (My sports bra's don't, so I wear a regular one with full non-lacy cups)
What questions should I ask?
These are my problems, can you assess what the problem is, and also give me some exercises to help prevent further problems.
What information will I be expected to provide ?
What problems you are having, what exercise you do, a short medical history (most focus on chronic conditions, previous injuries etc)
Is it ok to say I can't afford a series of session but can only afford X or shouldn't I bother to go.
Yes, it's absolutely OK. If you let the physio know at the start what is possible, then s/he can work accordingly. Of course in 2 sessions s/he may not be able to sort everything out. But at least you should be able to get a diagnosis on what's wrong and some support to start putting it right, / massage to ease the other tense muscles plus exercises to work on.
You'll probably need a referral from your GP to access the benefit of health insurance. Most GP's are happy to write the referral if you explain it's accessing private care. Check with your insurer...some won't actually ask to see the referral, just want confirmation that you have been referred.