Complete instructions come with every iPod, so I assume that yours is second-hand or stolen.
Basically, you need Apple's iTunes software. It's free for both Windows and Mac. Once that's installed, you need music. You copy some from your CDs or you buy some from the iTunes online store.
Once your music is on your computer, iTunes has a "Synch" feature that copies the songs from your computer to your iPod using the special cable that came with your iPod.