When you move someplace new, joining organizations and attending their social events is one of the best things you can do to make new friends. If you tend to be shy, then this will require you to step outside your comfort zone, but the payoff is worth it.

I know you may be thinking that you're shy, and you don't like the idea of going alone to an event.  I would advocate that feeling you're on your own will actually motivate you to connect with people.

So, here are a few tips to get you started in using this excellent resource to build up a new network:

Join an organization or club where people share a common interest.  This could be an Expat Community, a Chamber of Commerce, or something craft-related, for example.  It's great to join organizations of like-minded people, or those that might be in a similar situation to you.

Sign up to attend the social events - get yourself on the email distribution list, so you know about the upcoming events.
If there is a member forum, go ahead and join it.  
On the day of the event, post a message asking if anyone else is attending the event, and try to exchange a few messages so you feel like you know at least one person.
Keep a lookout for your new friend once you arrive at the event.
Wear a big smile, and walk up to at least 5 random people and introduce yourself It's that simple! The result is the beginning of a new social network for yourself.