Getting approach anxiety,  feeling anxious about approaching a woman you are attracted to is normal.  It happens all of the time.  What you should know is that it is possible to get over it to enough of an extent that it doesn't have to be much of an obstacle that you have to deal with anymore.  For any guy who has had to deal with approach anxiety - it can be a hard thing to try to cope with.  One thing that you should be realistic about,  though,  is the fact that it almost never goes away completely.  You are always going to have situations that make you feel a little bit anxious about approaching a woman.  What I would hate to see,  though,  is a guy avoiding chances to talk to women because his approach anxiety ends up getting the best of him.

Here is a video that deals with anxiety that I think is good,  even though it isn't exactly about approach anxiety,  it still is worth watching and can be quite helpful:
One thing that definitely helps when it comes to dealing with approach anxiety is to make the "problem" seem smaller by not putting as much weight on the fact that you are really hoping to make a good impression.  Think about it in the context of going for a job interview,  for example.  If there is a job that you are really hoping to get,  then you are going to feel more anxious in that interview than you would for a job that you really don't care if you get or not.  The same can be said about approaching women a lot of the time.  If you think about it,  you probably don't get as much anxiety about approaching a woman you are not that attracted to,  right?  Part of the reason for that is because you don't care about any outcome,  you are not trying to attract that woman.  If you were trying to attract her,  then you probably would be feeling some anxiety.

So,  if you can "trick" your mind into feeling like you don't care what the outcome is,  a lot of the time you will find that most or all of the anxiety that you feel about approaching a woman will go away.  Another thing that works,  and this is something that really does help a lot,  is to become a little more casual when approaching women.  The less you are trying to come across as smooth,  the less you are trying hard to be seen as the coolest guy in the room,  the easier it is to just go ahead and make conversation.  And that nonchalant approach tends to work out better for most guys than trying too hard to come across as cool does.

That may go against the grain of what a lot of PUA style coaches try to teach,  but you know what,  who cares?  It's more about what actually works for most guys in most situations,  right?  If you want to get a little more advice from someone that I highly recommend,  then I would say that you want to check out any articles by Wayne Elise on Psychology Today.  Here is one that refers to approach anxiety that is pretty good in my opinion:  http://www.psychologytoday.com/blog/art-charisma/200804/how-deal-approach-anxiety

Hands down,  you can learn more from him when it comes to approach anxiety and making GOOD conversation with women than you would from most self proclaimed pick up artists out there.  If you prefer video,  then this is a good one by Wayne Elise about talking to women:

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