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Actually, it is (sample size of 1). I used to be frightful of social circumstances because of fear of embarrassment. I really did get entirely over it just by saying to myself "Self, this is ridiculous. Stop being embarrassed." Pure willpower can do amazing things. Unlike depression there isn't a pharmacological effect going on here. You aren't embarrassed because of some chemical imbalance. You're embarrassed because you allow yourself to be. It is entirely mental.
That's essentially what I'm saying to do.
EDIT: I should say however that there are a few cases where anti-anxiety medication can help. For most people however this is not the issue.