A shy dog can only learn when it is inside its comfort zone. So all training must start where it feels safe, and all learning must be done in small increments. The best place for training and learning is probably the home.
So, how do you train at home? You will need guidelines and equipment. There is a multitude of websites that can give you information on agility training. There are also books and videos that will give details and visual aids and lesson plans for beginners thru expert levels.