Some people just have naturally more subluxable shoulders than others, it's an anatomic thing. The best way for you to strengthen your shoulder girdle is to do internal and external rotation exercises, e.g. with a cable, which is what my orthopedic surgeon told me to do after I had surgery to repair some torn cartilage in my shoulder.
Basically you attach a handle to a low cable, stand facing perpendicular to the axis of the cable (sideways), and pull the handle up and across your body. It's sort of like doing tennis forehands and backhands. Use low weight at first, knock yourself out.