I don't know anything about you so i'll try to give you my two cents.
I am not sure I will ever be able to make friends, connect, or get married and I am sad about that.
-We persist, because we must. Sorrow will compel one to do so.
I try to connect with some people. But it never lasts I guess.
-Perhaps those connections were not meant to last. They have freed you to continue the long and hard search to find other connections that will bring you joy.
I just want to give up.
-Give up what? life? pursuing relationships with others?
When I feel like giving up on life, I buy a pack of smokes. When I feel like giving up on relationships, I think for a moment about how awful it would be for me to live alone in a self made log cabin, or a cave, living off what ever animals I could catch, and forage I could find. I think I'll stick it out in "civilization".
I am in counselling again which is provided by my college.
-Counsel - advice, especially given formally.
You have all kinds of people to whom you can seek counsel with. I imagine this might be a good place for such counsel.
I have felt the very same before, to the degree in which I wouldn't leave the house for days-weeks at a time unless to get food or other necessities and lived off my savings. Having next to no social life is a great way to save money by the way.
I felt ashamed and depressed that I could count the people whom I deemed friend on one hand. I later realize that what other people defined as "friend", Is more accurately defined as "acquaintance" (get the Dictionary App, its totally worth it). I now consider this lack of "friends" as defined by others to be a good thing.
Shameless advertisement warning: Which means I have more time to listen to freedomain radio.
Now, more about me.
The other day at the Public Pool, I was listening "Stef Bot" on my headphones, causing me to laugh out loud. The man who was sitting on the chair next to me inquired about what I listening to. I then tried to convey the idea that amused me to him (poorly I might add). That turned into conversation which eventually turned into one of the most honest, open, deep, variant and intimate conversations I've ever had with my life. One never knows when they will find this kind of encounter. I try to be happy, laugh and smile, enjoy myself, then patient, curious, nonjudgemental, and empathetic with others.