You need to download iTunes on to your computer. Once that is done, you download either CD's you rip to the program or purchased music from iTunes. Then you use the white connection cord that came with the iPod, plug it into the iPod and the other end into a USB port on the computer.
The iTunes program will "sense" your iPod and open and and "sync" the iPod. Once that it done, the music, or photos or whatever you have in your iTunes program will be on the iPod.
Disconnect by shutting down or disconnecting the USB port before unplugging the iPod. The Apple website has a great FAQ section on just about everything you would need to know.