You cannot build confidence because it is a self regulatory psychological mechanism.

Confidence is often cited as a feature that men can build on but its not really that simple.

For men there is a regulating mechanism on sexual expression in the psyche that inhibits it most of the time. This is due to formative socialization in childhood from society, culture and religion.

However after adolescence, things change. Men that are mature and attractive looking in this period receive flirtatious messages from women. They are also pushed to identify themselves with the men that are featured in sexually explicit media, who frequently engage in sex with attractive women. These factors tell them that although sex is bad, they have social permission to be transgressive and express their sexual impulses as attractive young men. This 'green light' gives them the internal resources to overcome inhibitions and believe that their sexual selves will be accepted and loved, fostering their sexual development.

However for men that are immature and unattractive looking in this period, who show signs of physical underdevelopment, the situation is different. They receive few flirtatious messages from women. When they view sexually explicit media they come to realize themselves as inferior to those men. These factors create powerful feelings of shame, exclusion and pain. These feelings reinforce the message that sex is bad and further strengthen sexual inhibitions. Even if one consciously wants sex, the sexual self soaks up messages that it is immature, unworthy, sinful. The conflict can lead men to some quite dark places.

Most men lie between the two extremes. But the truth is that unlike for women, for men, a self regulating mechanism gives one the internal permission to be sexually expressive if there is deep knowledge that one is sexually mature and worthy. This deep knowledge is founded through years of experience. If you're told that you're too babyfaced, too punsy for sex for years, taking a course won't remove this knowledge and how it inhibits you sexually.

In the ideal world of psychological theory that ignores looks, every male can fully flourish as a sexual being if they undertake the work. However in reality looks greatly influences a male's ability to develop his sexual self and find lustful intimacy with a partner, pushing the process forward for some and blocking it for others. That is what both traditional psychology (like psychoanalysis) and much of contemporary self help ignores. It is up to the disaffected men to cry out into the dark.