Thats all there is to it.
Dont sign up for a gym membership and show up there confused and intimidated. join some sort of excercise class; crossfit, spinning,jiu jitsu, yoga.
I promise, it wont be overnight, but it will be FAST. you will feel better, youll make friends without even trying. Its impossible to go through an hour of physical suffering every day with the same people and not end up gradually talking more and getting to know each other.
OR, you could sit at your computer with the curtains shut, feeling like shit while you wait for friends to appear out of thin air.