most people say here, and I can wholeheartedly agree, when you talk to a girl for the first time, it really doesn't matter what the hell you talk about, as long as you have the other features that you most definitely know about already
. They won't really remember what you said, rather, they will remember the way you made them feel (hopefully, good). But for things to talk about, I really wouldn't go into a conversation with an itinerary or things you want to talk about, because things never go that way. You have to wing it. Talk about anything, the clothes she's wearing, make fun of people (in a light way) that are in your surroundings, something thats going on (like if you approach her in a library, talk about books, but don't get too deep of course).
For the anxiety part of your question, make sure it isn't something that you need professional help. You be the judge of that. If its the point where no matter WHAT you try, you get too anxious to approach, you might need therapy, whether by talking or medicine to calm you down. I suggest you come up with your own method to get rid of your anxieties. Ask around, on methods people personally take, you might find one that suits you as well. I take deep breaths and keep reiterating to myself to be chill.
One last thing, talking really takes practice. Try starting with men, guys you see t a store just stir up a friendly conversation, you get experience which will ultimately help you with women.