to gain the courage to do something. Usually something that's a little risky.
Examples:
I am worked up the nerve to take the driving test.
I'm working up the nerve to ask her out.
Often if it's past tense or future tense, it's used with some sort of modification:
I had to work up the nerve to ask her out.
I finally worked up the nerve to take the test.
And in the future tense this way:
I have to work up the nerve to ask her out.
Someday I'll work up the nerve to take the driving test.