How can I improve my confidence?

Why don't you try going to a gay support/social group? Many colleges have them. When I started going to one it helped me feel a bit more comfortable. When you think of yourself as being gay, try thinking about it the same way you think about your other defining features. For example, the colour of your hair. That's nothing to be ashamed of, is it? It's what you were born with (just like you being gay), and that's just the way it is, so there's no sense being ashamed of it. That's what helped me when it came to accepting my uality.