You must install iTunes. Then you can buy your music or buy/rent videos from ther iTunes music store. Alternatively you can drag your files into the proper sections in iTunes or insert a CD and have iTunes rip that.
IIRC, iTunes will also ask you for permission to search your computer for music files so it can automatically add it to your library.
Then plug in your iPod and it will ask you to set it up. After you do that you can fine tune what exactly will be synced onto it.