1. Show up
Make sure you show up instead of avoiding people and events. Initially it can be difficult. You may be worried if you would mess up the conversation. You might be anxious you would run out of words to talk to. And it might turn to be a little embarrassing, that's alright. Doing more and more of those interactions kills your inner fear. Getting past your fear is the first step.
2. Observe & Listen
Observe how other people talk. If you like the way someone approaches others, copy it. Imitate and see how it works out. Be observant on how others feel while you talk. Are they bored? Are they eager to talk more? Are they trying to move conversation to some other topic? Usually shy people are within their head too much they don't notice the environment and react to it.
3. Find something common
I connect with a person by finding something in common between me and that person. It could be politics, religion, engineering, events, etc etc. Find things you both care about, conversation will flow naturally.
4. Give Compliments
If you like something about a person, give them compliment. Tell them details of what you loved the most. Be specific.
It would take time, through multiple iterations, you will improve :)
Best wishes, I am confident you will be successful.