When my kids were that age I took them to the YMCA. They have a really great little kids sports program...Little Kickers, Little Dribblers, Little Hitters. They use equipment that is smaller and allows the kids to learn the idea of an organized sport without the pressure or frustration. I went to both the East Valley and the Central Y, but all the local Y's have similar programs. You don't have to be full members of the Y to take the classes.
We've also D. the Kids Love Soccer and the SkyHawks. My son loves Sky Hawks now (for camps), but at 3 and 4, it was a little too structured for him -- same with Kids Love Soccer. My daughter, however responded well to the Kids Love Scoccer at age 3, so it is somewhat a kid's personality thing.
The Y really encourages the kids to get envolved and trys to play non-threatening games to include the shy kids.