Parallel Play and Shyness
Parents become concerned when they see that their child seems to be playing alone. Many times, the child is actually engaged in parallel play. This is when the child is doing an independent activity, but is working literally alongside another child doing his own independent activity. This starts during the toddler years, and can extend into the preschool years as the child begins to learn the concept of sharing and reciprocity. Watch for occasional cooperative play.
Some children simply prefer being by themselves. Often, this is acceptable. Look for how the other children respond to her and if she seems to be well-liked by her peers. If the other children seem to like her, it's OK. If she is shy, she will eventually grow out of that somewhat, as long as little attention is drawn to her shyness.
To facilitate the social development of a seemingly shy child, try to encourage play-dates with one other child at a time. Meet other parents so that invitations can go both ways. Take the child to social functions, but don't force her to participate. She will when she is ready.
Above all, don't label your child's behavior as shy in front of her. This will lead to lower self-esteem and can become a self-fulfilling prophecy.