I feel anxious all the time. Im not sure if I have anxiety disorder.
If you already know that you are anxious most of the time then you probably do have an anxiety disorder. Any bigger feelings of anxiety or fear fall into that category.  Did something trigger it that you know of?
Not that I know of. How does one treat anxiety?
Treatment depends on the kind of anxiety you have.  There is such a variety from generalized anxiety disorder, specific phobia, social anxiety disorder, separation anxiety disorder, agoraphobia, and also panic disorder.
Social anxiety disorder sounds more like what I have. What does that relate to?
That would present with fear in one or more social situations. It would cause you distress and sometimes impair your ability to do typical parts of daily life. 
That definitely sound more like me. Is it treated with medication or some sort of therapy?
Before medications, cognitive-behavorial therapy would be started. Its an intervention that is widely used and has good results that are evidence based for improving mental health.