Many people are extremely shy. They are uncomfortable being around people they are not familiar with. Most of the time, in a room full of strangers, they will remain by themselves, away from the crowd. Most of the time, once they feel comfortable with others, they open up, and are really a great deal of fun to be with. They start to talk , and before you know it, you forget about how shy they had been when you first met.

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[edit] Steps

Approach them and have a nice friendly smile on your face.
Be calm, and polite, introduce yourself, and ask them for their name. Flatter them, talk about something that you both might have in common. Just be friendly. Take it slow.
Ask them questions, about what they enjoy doing, or if they like the movies, or what TV show they enjoy. When they answer, listen politely, and look at them while they talk. Look in their eyes when possible. Pay attention to their opinions and thoughts, then add in whichever thoughts that popped into your mind but remember to make sure that it would not offend them.
Wait until they finish talking, and then respond to what they had said. Make sure they understand that you have been listening to them. For example, if she was talking about animals, then show her that you had been aware, ask questions topic-related such as, "do you have any pets of your own?", "what's your dog's name?", "I adore wolves! They're my favorite animal, what's yours?", etc.
Know that once they feel comfortable with you together, they will be more outgoing, and probably will be a lot of fun.
Pursue them by asking them to hang out all the time and join you. You might have to do most of the calling at first or throughout the friendship. But if you're interested in them, it's worth it. Don't pressure them to do things they don't want to such as joining big groups of new people all the time or going to parties. Learn what you both can do together, yet at the same time will be fun for your friend.
Have them do fun activities where they can let their hair down and laugh or act like a kid. For instance, rollerblading.

[edit] Tips

Be yourself rather than trying to be "cool". People will most likely find you an interesting person anyway.
Just make friends, be calm, and polite and interested in what they have to say.
Look for what you liked about people you've interacted with.
Listen carefully to what others have to say. You don't want to let the other person go on and on, act like you understood, then go, "what?"

[edit] Warnings

Never put them in embarrassing, uncomfortable situations.
Don't make offensive comments, that includes anything stereotypical, sexist, racist, etc. Or don't say anything that is directed at a particular group. Even though your new friend may talk about these things, be polite but not mention them yourself.
Don't complain.
NEVER ask why they are so quiet or shy this is the worst thing you can say, it embarrasses them as well as making them uncomfortable. if you ask or say this they will end up hating you. You have to pretend they aren't shy, and treat them like there's nothing wrong or awkward about them being quiet. Eventually they will open up.
Don't say "Why don't you smile?", or "You look tired..". Most likely they are uncomfortable, and you would be adding to it. Instead try telling them a funny story or complimenting them.
Most people are shy because of a fear that someone is criticizing or judging them. Be careful not to say anything judgmental towards their character or interests. For example, do not say "My friend said he thinks you're boring," or even say it behind their back because chances are it will get back to them. In effect they won't want to open up to you and have fun because they can't trust. Do the opposite. Find ways to remind them every once in a while what you like about them. Build trust.