Great advice posted in this thread indeed! Another way that really has helped me (as well as several buddies of mine) tackle shyness while walking up and talking to girls was done by identifying my shortcomings, and accepting them.
I'm pretty short at 5'5, which made me feel REALLY insecure whenever around ladies. This particular insecurity constantly resonated in the back of my mind, which prevented me from approaching and talking to chicks at the bar.
But by identifying and accepting the shortcoming (which was pretty hard to do at first), I was able to tackle my issues with being overly shy, especially around the ladies.
That in turn gave me a MAJOR boost in self-confidence, which ultimately helped improve my pick-up game.
Hope this helps,