How to get better at holding a conversation?

So I've never been good at holding conversations with women, if I'm friends with them it's a little easier, but when I just met them, it's really hard because I feel like there expecting me to say some dirty to give them a reason to leave. Maybe it's just all in my head but I really don't know how to hold a conversation without being boring. Any tips?
How to get better at holding a conversation?
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