This is the "B"in CBT. The core principal here is "face your fear".
I think this is one of the most basic truths in all of psychology. Even psychoanalysis is founded upon this idea -- but in psychoanalysis the fears to be faced may be thought of as inner, unpronounced, unconscious fears, to be faced by searching verbally for them in the therapy sessions.
In CBT the facing of fear is taken more literally and concretely. If someone is socially anxious, or shy, the task is to design a "workout program" in which the person must practice starting conversations, approaching strangers, asking people for things, etc. Here, CBT is like athletic training. The work is often physical, but the workouts need to planned so as to be challenging, but gradual, easy enough tasks to guarantee success most of the time, but challenging enough to induce anxiety (there has to be some "weight on the bar"). It can help in behavioural therapy to keep a "workout" journal, just like you see athletes doing in the gym.
Behavioural therapy is best suited to approach anxiety problems. The ideas apply to approaching depression as well, and might involve setting up schedules or "workout plans" to counter depressive behaviours (such as social or behavioural withdrawal). But often times in depression, people are too tired to engage in a behavioural regimen. For them, such ideas sound like being told to "pull yourself up by your bootstraps" by an unempathic advisor. Yet, I think some behavioural principles can help in depression, especially when the depression also has anxiety symptoms. And just like with athletic training, the work is most important and effective if maintained on a regular, consistent basis. So, just a few minutes of work daily might be a place to start for a tired, lethargic depressed person, as long as it becomes a few minutes of a new healthy daily habit.
Once again, there are many good ideas in behavioural therapy that can be found in books or workbooks, and they are certainly worth looking at to get you started.