iPod touch iTouch bought song disappeared??

Hello! I just got my ipod touch and was testing it out. I bought one song and played it a few times. When I connected it to my Mac book pro for the first time iTunes never imported the song and later the song completely disappeared from my ipod as well like I never bought it. It isn't listed in iTunes on the ipod nor does it show up when I search for it by artist, title, genre, etc. Has this happened to anyone else? I don't believe I deleted (that would be an option you would have to select right?) Help would be great!

Side question, I haven't jailbroken it or anything but wondered if I did is there a feature to get back lyrics and notes?

Thanks in advance!!