My first son was extremely reticent to go near adults. When I would try to leave him with the nursery at church he would become hysterical to the point where they thought he would hurt himself.
I had a lot of well meaning moms and others tell me to just walk away, and he'd be fine. This was not the case - that might have been fine for other kids, but he simply had that kind of personality.
Do not make your daughter feel bad for being shy. There is nothing wrong with her, and you didn't mess her up. Do give her opportunities, like this ballet class, to be with other kids and to do things on her own.
Here are things that helped me:
- Try to find other ways to describe your daughter - "shy" has a negative connotation. I often say "he needs a little warm up time" or "give him a minute on his own to check things out."
- If possible, check out a new place ahead of time. Drive by where a class or birthday party is going to be the day before. Visit the dentist's office and just check out the lobby, then leave.
- Talk about what might happen. E.g., "So, when you walk in, I bet the teacher will say 'Hi! Who are you?' and you'll say 'Hi! My name is...' What else do you think will happen?" We make a game of thinking of crazy stuff that might happen, even though we know it won't. We also discuss "bad" stuff that might happen, e.g., "hm...and what do you think you'll do if you fall down?"
- Try to get somewhere a few minutes early, before all the other kids are around. Your daughter is then dealing with one or two new faces at a time, not a rush of them. Think of the last time you were late to a party of people you didn't know, and were met at the door with everyone turning to look at you. That's daunting even for adults.
Good luck!