Depending on the kind of advice you've received in the past, this may either seem too on the nose or completely counterintuitive. Of course you need to act interested, you think. How else will she know I like her? Or, you may have the opinion that girls seem more interested in guys who ignore them, so will you look like you have no game if you actually let on that you're interested?
Playing coy may work for women flirting with men, but when the shoe is on the other foot, women need to know you're interested. Just not too interested. Confused yet? Let's break it down. If you're attracted to someone, you need to give her some sort of idea that this is the case.
But at the flirting stage of any relationship, things need to be light and fun. So, managing the intensity of your interest is important. Pay enough attention that she gets the hint, but don't come on so strong that she gets creeped out.