Different therapies work for different people.
For me the key thing was getting the confidence to talk to people about my problems - it was a Clinical Psychologist who started me on that road and he also suggested this book :
http://www.amazon.co.uk/Self-Help-Your-Nerves-overcoming/dp/0722531559
When I was (quite a lot) younger the book probably saved my life - it certainly saved my sanity.
It helped me come to terms with absolutely crippling anxiety attacks - helping to understand them & devising some practical strategies to cope with (and eventually eradicate) them. It was a long haul, but the book was a critical factor in getting there.
Keep talking to people, keep asking for help.
Dave x