I haven't specifically had Exposure Therapy but I did do a supported graded exposure programme for my fear of public transport and it was as one_step_closer said. I'm not really sure what to add except that ideally you need to be exposing yourself to the next step on your list a good three times a week until the anxiety has gone. The idea is that you don't feel overwhelmed, but that you repeat steps until it's relatively comfortable.
Worked brilliantly for me despite initial reluctance. I don't think twice about catching most buses/trains now. I would recommend giving it a go, and having someone who can support you in some way is helpful too.