Hi Anna, thanks for your question.
The new iPod Shuffle is fairly accessory-light out of the box - all you'll get apart from the Shuffle itself and the install CD is a lanyard (so you can wear your shuffle around your neck) and the now traditional white iPod earbuds. If you want other accessories, you'll need to buy them separately. Accessories that are out there at the moment include an armband (AU$48), a transparent sports case (AU$48), a USB dock connector (AU$48) and a battery pack that takes two AA batteries and extends your Shuffle's battery life by up to 24 hours (AU$48). Check out the Apple store locally for more information.
As for getting all your songs from your computer, the Shuffle comes with a CD that you can use to load iTunes music software onto your Windows PC. Just install iTunes, and that becomes your central management point for all of your stored music. And actually getting songs from iTunes into your Shuffle is easy. Once you plug your Shuffle into a USB port on your PC, it will automatically be filled with a random selection of songs from your iTunes playlist. If you don't like what's been loaded, you can also easily drag and drop whatever songs or playlists you want.