I'm scared, I'm very scared. I have no problem befriending women but that's all I can do. How do I take the first step in letting them know I'm sexually interested in them without putting my neck out?

You got the steps wrong. You don't befriend them and then show you're sexually interested. You have to be clear with your intentions from the start. Be flirty. There are hundreds of topics here on flirting, I suggest you look around.

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What I like in life is nothing more but living it.

What about people who already knew each other before eventually go into a relationship?

Then you need to change the way she looks at you. I know im being very cliche, but its true.
How close are you guys?

Pretty close, I see her a couple times in a week usually with other friends. I try to hold eye contact for as long as possible.

Very good. Keep doing that. Also, try to initiate kino escalation talk with her about relationships and if you get the window, try a more sexual subject. And do not be always available, i can't stress this enough. If you need a more personal advice, pm me. Good luck.

Take her somewhere fun and exciting where you'll be in close physical contact like an amusement park or go-carting. I also think it's important to spend A LOT of one-on-one time with her so and kino while doing so she gets used to your presence, your touch, and begins to feel safe and protected around you (something most guys underestimate in the attraction game). Also, show your intellectual side (if you've got one) as this is a very big turn on for women, and make her laugh just don't overdo it or she may think you're a goof (one thing I like to do is play with her physically like a little boys do to little girls such as tugging her hair, softly pinching her playfully, look at her as I'm driving my car but then turn away as soon as she looks back at you etc.). Be who you are, don't try to be someone else as she'll know you're being phony and it's unrealistic to keep up a facade if you do ever get into a relationship with her.

I don't believe in forcing anything, or being direct with your emotions as women like to feel that things just organically happened, like in fairy tales so BUILD the appropriate context for this to happen and operate under the premise that she wants you, she has just yet to realize this and its your job to make her realize this.

Here's a link on some tips to getting out of the friendzone http://sashapua.com/get-out-of-the-friendzone/ While I don't agree with some of the tips, I do think being flirty is one of your only chances of reframing the relationship.

They're most of the times not close friends. Just know each other and it sort of happens. Possible, if the guy kept it cool and the girl doesn't really have someone already in line.

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What I like in life is nothing more but living it.