I go to the club all the time, and have been going for 12 years now. It's better with friends, but I have also gone alone. Look for clubs with multiple rooms, so you can listen to different types of music if you get bored with a song. Try to find nights where you don't have to pay a cover. Ladies usually get in for free/much less than guys. I would just say look confident, and don't be afraid to approach people and dance.
I've never picked up a girl in the club, but I have made out with some girls in the club. As people have said before, girls aren't really looking to get picked up...more like they are looking to show off. Prepare to be rejected and get a bunch of dirty looks from taken girls and jealous guys. That's why it's better to be with some friends at first until you can navigate the scene better. Also, fights break out all the time, so be ready for that.
My ideal clubbing situation is going with just one person who will dance with you the whole time. I hope you enjoy your first nightlife experience!
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