| First of all, it's ok that you don't know how to talk to girls. Really. There are guys that are very social and will talk to girls at bars, clubs, etc, and then there are those guys who don't. Not a big deal.
There's something you may need to work on though, as you said, and that's your confidence and self esteem. For this, I don't suggest you go to a club or somewhere absolutely rambunctious. Go to a bar that's relatively low key, or a party with a friend, or some social function where you don't know anyone. This way, you're somewhat forced to talk, or forced to sit there by yourself. I also suggest that you don't approach a HUGE group, but either someone on their own or a small group.
The first step is to simply just say...hi. Try that for a little bit. You may fail, the girl may just immediately tell you, "No" or for you to go away...or she may even ignore you. It happens. Remember this: you can always regain your pride in the morning. Plus, if you're at a party/bar, you will most likely never run into her again, so who gives a crap about what she thinks, right?
Every now and then, a nice girl will talk to you, even if she's not interested. If she is, then great. But even if she's not, she'll at least tell you her name, and give you her basic info: where she goes to school...major...what she wants to be...etc.
Often times, you may run out of things to say. That's also ok. Practice makes perfect. Just keep on trying, and sooner or later, you'll realize that it's not that big of a deal to approach a stranger to talk to them. | 
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