Thank you for your question and welcome to Anxiety Connection.com.
The following link will give you some information as to the role the brain plays in the cause of anxiety: http://www.healthcentral.com/anxiety/introduction-000028_2-145.html
As far as how to proceed, it sounds as if you are on the right track. Cognitive beahvioral therapy has been found to be very helpful in treating anxiety. Some people also use medication to help.
For further informaton
Anxiety Treatment
OCD
Generalized Anxiety Disorder
I hope this helps
Eileen