Here’s some previously published advice on starting an improv group.
If there’s any sort of improv scene in your area, definitely check out some shows and talk to the performers.
If there isn’t much of a scene, gather friends with an interest in improv and just play/learn together, possibly with the help of books like Mick Napier’s Improvise: Scene From The Inside Out and The Upright Citizens Brigade Comedy Improvisation Manual.
There’s also E-Mprov on Facebook, where you can watch (and maybe even participate in?) shows with people around the world through the magic of Skype.
Also, improv really can help with stage fright, as (theoretically) there’s nothing scarier than stepping on stage with no idea what you’re going to say and do… and yet with the right group of people it’s one of the most incredibly fun and supportive things in the world.