I know your question is geared towards Rabbi Shapiro; nevertheless, based on my experiences with students and mental health professionals, I am going to add my thoughts.
Anxiety, depression, bipolar, etc. - these are all mental health conditions. By definition, a health condition is not something someone chooses - nobody wants to be emotionally/psychologically/physically compromised. Believe me, if people could overcome anxiety/depression/etc. with a simple change in their thinking habits, they would have done it ages ago, right? It's not that simple and never has been.
In terms of mental health and stability: are we responsible - to a certain degree - for our emotions? Yes, to a point. We are responsible for doing השתדלות to achieve a better internal state, whether through learning about אמונה ובטחון, relaxation, diet, sleep, exercise, therapy, and, yes, medication, when needed. דרך אגב, physical conditions can also aggravate the mind/emotions - there is significant scientific evidence for the mind-body connection (for example, sometimes symptoms of depression/anxiety can stem from thyroid disorders, which are physical). In any case, the existence of a mental health condition--and our apparent success or lack thereof in healing it--is not in our hands. A victim of a mental or emotional disorder, is far more limited in his/her ability to successfully manage his/her mental/emotional state. So in answer to your question, working on oneself/one's attitude is definitely important, but it is often insufficient.
Additionally, stress, mental health disorders and chemical imbalances cause actual, physiological changes in the brain. Medication can significantly help realign a person's brain chemistry and bring it to within normal range, thereby facilitating better functioning and emotional stability and tranquility. In such a case, "changing one's attitude" and expecting the disorder to go away is not realistic and can be harmful. Mental health issues are real and need to be addressed by competent, trained professionals.
In terms of your friend, if she feels that her social anxiety is interfering in her functioning and/or relationships, she should seek help from a qualified, frum therapist and/or a qualified, preferably frum psychiatrist (psychiatrists are MDs and therefore qualified to prescribe medication, if needed). Sometimes changes in diet, exercise, sleep, cognitive/dialectical behavioral therapy/self-talk skills, etc. are enough to alleviate anxiety--but not always. If someone needs medication, getting it and taking it responsibly is crucial.
For further information, please see the following sites:
http://www.aish.com/...s/52334087.html - Shani Silverstein, an author who has struggled with mental illness, clarifies many misconceptions regarding mental illness
frumsupport.com - go to the Mental Health section