What does a girl mean when she says that she is scared of a guy and what can the guy do about it?

I take it that you mean "scared" as in "nervous," and not actually scared of physical harm. If a girl is nervous about being with you, give her lots of time to get used to the relationship and don't push her. Be yourself, be truthful about what you do and say. Give her little compliments on a regular basis without going overboard. Make sure she knows you are interested in what she does and feels. The world doesn't revolve around you. But also do not put her on too high a pedestal, she'll probably just think you are after something. Be friends and let the rest develop (if it does).