I am a shy guy and I have problems making friends. I don't know what to do.
First step is to put your shyness aside. There really is no other way. Then you gotta find some common ground.
a.) Jobs - befriend coworkers
b.) School - befriend classmates
c.) Sports - befriend teammates
Personally, I'm self employed, done with school, and hate sports. So none of the above options would work for me. Instead, I just try to make friends with girls. It's much easier and more natural. I use dating sites, but myspace/facebook can work all the same.
Best of luck.