Got my new Nano today and was surprised at how little information there was in the manual, if you could even call it that. I'm not surprised people who are new to iPods are struggling to get started.
As the other poster said you need to have iTunes installed. With my first Nano, it was very straight-forward. A disk copy of iTunes was provided along with a quick start guide, no such joy this time. It didn't affect me because I know what I'm doing, but others might not.