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I have a little experience in picking up girls at clubs, but that is mainly because i'm drunk as h*ll which makes me relax a little bit, or that the girl just comes up to me and starts to dance.
The problem is that where i live (Sweden) many girls can be quite prude, and if you just walk up to a girl at random, she will most likely give ignore me, give me the bitch stare or just answer the question and walk away. This doesn't seem like something that will teach me to craft a good conversation, i'm afraid, more likely to wound my confidence, than to boost it.
If the girls are harder to get to socially, peacock them into wanting to talk to you. Wear something that they cant look away from. Then, while you make your approach, they will start their usual respond and walk routine, but will be so drawn to the article you are wearing that they cant help but ask. Then, formulate a story based on it, even something as cheesy as I lost a bet, and make it a crazy story to help warm them up with laughter. Or, try a different approach, one where they dont have a quick responce to, like the opener where you ask them to help you decide which name would be better for yours/your friends new pet. Give a few options, and then see what she says. Work on approaches first, and trying to get her to stay around a few extra minutes, and then work up from there.
And on the confidence issue, dont worry about what they say, because remember, you will probably see this one woman this one night, especially if she turns you down, but it is a learning experience. Rome wasnt built in a day. And also sticks and stones may break bones but names have never hurt. So if you get rejected, laugh and learn. Look at the approach, the opener used, and see how you can reword it or create a new one to keep the attention of the target. Adapt your game to fit your environment.