We confess corporately and privately. Corporate confession is done at every worship service. Private confession is a personal choice.
When we confess corporately, we generally have a period of silence where one can confess to God all of their sins that week. We then go on to say the following or something very similar:
"I, a poor, miserable sinner, confess unto You all my sins and iniquities with which I have ever offended You and justly deserved Your temporal and eternal punishment. But I am heartily sorry for them and sincerely repent of them, and I pray You of Your boundless mercy and for the sake of the holy, innocent, bitter sufferings and death of Your beloved Son, Jesus Christ, to be gracious and merciful to me, a poor, sinful being."
Pastor then turns to the congregation and says "Upon this you confession, I by virtue of my office, as a called and ordained servant of the Word, announce the grace of God unto all of you, and in the stead and by the command of my Lord Jesus Christ I forgive you all your sins in the name of the Father and of the Son and of the Holy Spirit." (With the sign of the cross)
I know some who have done a private confession very similar to Catholic confession, but the times I have had private confession have been more a 1-1 time to talk to Pastor about things that were troubling me and sources of sin that I was trying to overcome. This was always followed by the above confession and forgiveness.
Many of us do see Confession and Absolution as a sacrament. (It's the third, not talked about one, since we only officially have 2) While there is no physical representation, we do have the Word of God and Forgiveness of Sins. And when Pastor speaks those words... I do feel a weight lifted from my heart.