A city can be a very lonely place, particularly when you haven't lived there before and don't know anyone. But that doesn't mean you can't make friends; all around you are people who are probably just as lonely as you are, and they need your friendship just as much as you need theirs.
The key is to reach out to others instead of waiting for them to come to you. One of the best ways to do this is through churches that have active programs for people your age. For example, a group Bible study won't only help you get acquainted with other people, but will also help you grow in your faith. (I encourage you to attend the main worship service also, although it may not give you many opportunities to get to know others.) Ask God to guide you to the right church.
Take advantage of other opportunities to be with people, as well -- at work, through worthwhile activities, and so forth. At the same time, don't let your lonely feelings lead you astray. It may be tempting to follow your coworkers to the nearest bar or nightclub after work, but will you find lasting friendships there? I doubt it.
The most important thing I can tell you, however, is that you're never alone if you know Christ. Put Him first in your life, and then make it your goal to become like Abraham in the Bible: "Abraham believed God... and he was called God's friend" (James 2:23).