Coaching is essentially a challenging and supportive conversation between two people, sometimes in person and sometimes over the telephone and sometimes over e-mail.
The purpose of a coaching conversation is to help you help yourself. So I'll be doing a lot of:
listening
questioning
challenging assumptions
summarising
empathising
Want to know more? Take a look at this Coachville document describing what they call "deliverables" and what I would call "things a coach can do during any session". Do any of them sound like the things you want (or don't want?) from your coach?