First step: download the latest version of iTunes. It's free, works on both Mac and PC, and you can find it by going to CNET's Download.com. If you already have iTunes, make sure you're updated to the latest version, since the fifth-generation Nano requires iTunes 9 or later.
If you're new to iTunes, expect to take some time to explore its features and import your media. It's time well spent, since the organization and operation of your Nano is basically an extension of iTunes.