Gametime24,
It can be intimidating to make the first few calls, but try to relax and realize that the coach has talked to many, many players in the past and HE knows what to say!
Just call and tell him your name, and that you are calling to thank him for the letter or e-mail. Then if you don't know what to say next - that's okay, let the coach take it from there. He will probably start asking you a few questions about yourself, and you can just answer and forget all about being nervous. Just make sure you thank him for his time at the end of the call! Whew, got that first call over with, don't you feel better now?