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What does it mean that I want women to lead the interaction
Maybe you are less confident about the things you are going to lead with. You said you were shy, so this what I think you need to work on.
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how do I learn to take the lead
Now I don't know if you mean what is leading made of, like its content, but what I can make of this is that you know what to do to lead, but you so into your old habits that subconsciously tell you to make the women lead, that you are not able to think before acting.
What I suggest is that you change this habit. Break your thought process, slow down your brain processing and change the pattern which tells you to make the women lead. Second, whenever you know you are going to be with a women, think ahead of the scenario and make a to-do list type thing about how you're going to lead.
Practice and practice alot. Failure is just feedback.