Talk to people. You can join a club, go to school, or go to church but you still won't make friends if you don't actually talk to people. By the same token, you don't have to be involved with an organization to be social, and any time you talk to someone, you have a chance at making a lasting friend. You can talk to anybody; the clerk at the video store, the person sitting next to you on the bus, or the person in front of you in the lunch line. Don't be too picky. Most conversations will be a dead-end of sorts, when you may never talk to that person again, or you just remain acquaintances--but once in a while you'll actually make a friend. If you're not super social in nature, one or two good buddies may be all you need to be happy. At the very least, if you were feeling lonely and desperate before, having a relationship or two should be enough to take those feelings away.
I can be your friend if you want. You can also find other friends here in this website. You can even post a question here asking for friends. Once you know some people, keep talking to them so that they become a regular friend.
Relax. There is never a reason to beat yourself up over not having friends. Worrying about it won't change it but thinking positively will enable you to put out positive thoughts and attract people with your good energy. People are attracted to positivity. Rely on the people who are already around you. Such people as parents, teachers, mentors, role models, siblings, etc., can provide you with support, inspiration, and coaching as you build up your confidence, talents, and strengths in life. Friendships often develop when you least expect it but mostly arise because you are certain in yourself and have a good support network at home and in school/college or work life.
Lastly, value your own company. Don't succumb to the notion that one has to be socializing or partying to have fun. Make time to strengthen your independence and develop your sense of self. You are worth it.