Hello,
I thinking of starting dance but I am a bit shy. Can someone suggest how I can overcome this shyness and build my confidence?

I'm shy myself. I'd advice you to just go to the studio you want to and sign up for a few beginners classes.
I don't see why you need confidence to start dancing. But dancing can boost your confidence tremendously.

Did you watch "Shall we dance?" ? One of my dance sintructors suggested I should watch it and though the movie exagerates a bit (as movies do) it's message is quite simple: you don't need to change yourself to dance, but dancing will change you.
Even if its only that you will fix your posture. But if your body says you are confident, sooner or later your mind will follow ;)
Think of dancing as the "Axe effext" from those stupid commercials...


And I think I have sounded silly and concieted enough for today. So I'll stop.

Just don't worry and go for it. Everyone starts at zero and all dancers know that.