Do I need to shave my hair before going for a laser hair removal treatment?

I'm going in for my first laser hair removal soon. I was told to shave, but I'm a bit confused. When I shave, doesn't how good I do it, I can still see some tiny hair below my skin. I have dark hair by the way. So, if I shave and the laser burns the follicle, the left over tiny black hair will be stuck under my skin doesn't it? If not so, then how does it get out?