I've never found it hard, but I'm a giant dork, and I make friends with other women who are giant dorks. Something about all of us having the same type of social awkwardness seems to help.
Or... I don't know, I've always thought of myself as an introverted person, and can be antisocial at times, but I also have more close friends than almost anyone I know, and plenty of casual friends. I've always found it pretty easy to make and keep friends, especially female friends, and I've been told that it's unusual.
I found most of my female friends in school, though some through work or volunteering or internet message boards.