Do Catholics start confession with, Forgive me Father for I have sinned? [I Confession]

After confession do they believe their sins are absolved?
Is it only Catholics who go to the confessional?

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Reminds me of a joke...

An elderly man goes into confession and says to the priest,

“Father, I’m 80 years old, married, have four kids and eleven healthy grandchildren, and last night I had an affair with two 18 year old girls. I made love with both of them… twice.”

The priest said, “Well, when was the last time you were in confession?”

“Never Father… I’m Jewish.”

“So , why are you telling me?”

“Oh, I’m telling everybody!”