You could just read the instruction book...
1) You use iTunes with it. If you haven't already, download it from apple.com.
2) Get your music into your iTunes library. Either buy online, download illegally, or rip your CDs. For the latter, just put them in your computer with iTunes open, and at the bottom of iTunes will be a button 'import CD'.
3) Once music in iTunes, your shuffle just makes a copy of what it can from iTunes to Shuffle. So connect your shuffle, and it should appear after a few seconds in iTunes. It should start auto-syncing. Then you press the eject button next to its name on the left pane, and you can disconnect from computer.
(Try and make sure it's connected to a direct USB connection from your computer, or a powered hub.)