Oh come on, CB!
It depends on how you do it.
Mr.E, if you haven't taken a look at the thread on pick-up lines, you should do that and then *not* use any of those. Oh, and you don't have to tell a girl she's cute right away -- just walking up and starting a conversation says that for you. I personally would recommend you keep your comments on what's going on around you, like "That band is pretty good, you think?" or "So how do you know whoever is having this party?" You'll know if she's interested or not right away, I'm sure.
I think that it just takes practice. Everyone says stupid stuff -- just learn how to laugh at yourself when that happens, and make people laugh with you instead of at you.
I'm not sure if you're just talking about being shy around girls or around everybody including girls, so in case it's around everybody, you might consider a job that requires you to be outgoing, like retail. That way, you have to be friendly, and get a lot of practice with it.
Hope that helps a little -- good luck.