How old is she?
Although it's human nature to want to snuggle up this shy little one...don't. This is likely to inadvertently force her to delve deeper into her cave. With shy ones my advice is always to rarely approach them--let them approach you. You coming to a shy dog or picking up a shy dog is basically you taking their comfort bubble, which is already about to pop, and stomping on it. Since your pup is already shy, you coming to her and picking her up for a sweet snuggle does not make her feel better. She doesn't have the opportunity to come to you, and if she's not comfortable doing that yet then you need to work on building her confidence.
Don't coax her too much. Don't coddle her. Carry around a bunch of really yummy treats and drop them randomly by her. Don't look at her or anything, just drop a treat and keep on walking. Do this a lot--all day long if you want. This will help her make the connection that people=food, and food is good.
Try not to go to her too much. If she doesn't learn to feel comfortable coming to you, then essentially you're a sneaky "attacker" who's constantly trying to catch her. Let her be, but do little things to make yourself interesting. Drop treats as mentioned before, walk past her a lot with your shoulders back and your head high--this is a leaderly posture, but be careful not to appear aggressive. Just look confident. Think of it like you're walking around doing something important and you have a really good purpose--dogs are pack animals, and want to follow a strong leader. Your pup will get curious and begin to wonder just what it is that this confident looking person is up to. If she starts following you or taking interest, don't immediately get excited and turn around to praise her. Just drop a treat without ever even looking at her and keep on going. Eventually you can progress to having her come to you. Once she's confident enough to at least get within several feet of you, bring out the clicker. Click and treat for any interest in you, or for just nothing at all. You can click and treat randomly or you can click for just a brief glance your way. Be quick, and just toss the treats to her. Don't try to lure her to you to reward her. Continue this until eventually she will come right up to you. You'll be tempted to shower her with affection from here on out--don't. She has to build up a good confidence and trust in you, and if she's "attacked" with affection that she isn't ready for when she finally comes to you, then she'll regress. Just treat and perhaps coo a little. A gentle, "Good girl," when she's brave enough to come closer, but no reaching or snatching her up or anything else. You have to work on her terms.
From here, lots of petting under the chin, lots of working at her level. Try not to tower over her. Come down to her so you're less intimidating. Stay on her level as often as possible at first--laying on the floor, sitting, etc. Your height compared to hers can be a bit scary, and she may feel like you're towering over her, and may seem domineering. She won't be comfortable coming to you from this level, so when you work with her, sit. When she's more comfy with you, find a fairly slow park to go to. Somewhere that isn't crowded, but still has people and dogs there. If you run out to Petsmart for socialization, she's likely to feel extremely overwhelmed by the crowds. As the owner of a very timid dog, I know it's very easy for your scared pup to get trapped by other shoppers on an aisle. A park offers easy escape routes and lots of room to stay as close or as far away from other park-goers as she needs. Have people toss treats towards her, or if she's confident enough, have her take treats from them. She may not be ready for this yet, so just have people toss unbelievable treats--really smelly ones. Freeze-dried liver treats, pieces of rolled dog food, etc. Something irresistable.
Remember that you did only get her yesterday. Border Collies are a very sensitive breed, and while some are very outgoing and excited on their first day home, many, many others are overwhelmed and need a security blanket for a while--sounds like her security blanket is your Aussie.
Let her go to her kennel whenever she wants--that's the purpose of crate-training: a place of her own for her to retreat to if the stress of the new environment is too much. I hope this helps, and good luck to you. If you have any questions or anything is unclear feel free to ask.
Congrats on the new BC! They're a wonderful breed to work with.
