Well this depends how you have set you iPod to update.
When the iPod is connected, click on the little iPod icon in the bottom right of the iTunes window.
Is your iPod set to "manually Manage Songs and Playlists"
or is it set to "Automatically update songs and playlists"
if it is set to Automatically.. then you will have to delete the song from iTunes to get it off your iPod, as the iPod looks at what songs are in iTunes, and matches those songs into your iPod.
If it is set to manual, from iTunes, click on your ipod, find the song, hit delete.
Let me know if you have your iPod set to auto update, but you don't want to delete the song from iTunes.