You need to download itunes assuming you dont already have it, i cant remember if i got a disk with it on when i bought my ipod as i already had itunes installed.
There is no disc with the ipods. Like souldriver said you need to download itunes. We then converted all our music from Media player to the itunes and then downloaded it on to the ipod.
Used to come with discs, but they're recently made the packaging smaller to cut costs and also help the environment a little more (what they say, anyway).