It has a little USB or Firewire plug that connects it to your computer (or it has a charging stand that does). When it is plugged into your computer, you open iTunes (download it from Apple if you don't have it yet).
You can drag music directly onto the iPod or use iTunes to move music files onto the iPod.
It's easier than you prolly imagine it is. Then you stick those earphones in your liddle earholes and push a button and it starts filling yore pore haid with musick.