Being shy is perfectly normal.
I used to believe that if I could just be more "outgoing" that I would be much happier and that my life would be much fuller and richer and that everything would be fixed.
However, what I've noticed, in myself and in other INFPs is that we prefer "Quality" over "Quantity" of friendships, interactions and experiences.
For INFPs, what could appear to be a simple interaction or trivial experience for someone else, could easily become a profound event or revelation.
My advice to you would be to pursue and cultivate your own interests and talents, bringing out the gifts that make you who you are and nourishing your self-esteem.
When you are feeling at your best, confident and secure in your inner world and in who you are, you will be emboldened and better equipped to engage with the world outside.
Start by saying "hi" to someone who seems non threatening or by pursuing a new intrest or hobby in which you can meet like minded people.
Asking questions is also a great way to start a conversation and are easy to come up with in any situation. (i.e. "What was the name of that thingy the teacher was talking about?"
And remember, the grass always seems greener on the other side, and while there is nothing wrong with taking a look and visiting once in a while (actually this is how we grow as people), often the result of these excursions is realizing just how amazing your side of the grass actually is!