Fortunately getting the music from your iTunes library to your Shuffle is easy. You can do it manually or synchronise.
Connecting the Shuffle to your computer is done with a different kind of cable, which you put in the USB-like interface in the 3.5 mm connector. It's a proprietary connector, and was probably needed because a separate micro-USB port would have made the Shuffle larger.
Once your tracks are on the player, you have to click the Eject icon in iTunes, after which you can disconnect the Shuffle and be on your merry way. To listen to your music Apple included the classic earbuds. That's too bad, because the new types you get with the Nano, Touch and iPhone 5 sound a lot better. The ones you get with the Shuffle lack in low end and detail, and don't stay put in your ears. This will differ from ear to ear, however. In any case, for a sporty mp3 player it's not a good thing, and the new Apple earbuds are also superior in this regard.
It's recommended therefore to use other, higher-qualty headphones or earbuds, and then the sound quality of the Shuffle is fine, especially if you also use high-quality music files.