The iPod Shuffle is different from the other iPods: it doesn’t have a screen. And while there are a few other differences, setting one up is fairly similar to setting up other models. If you're setting up an iPod for the first time with the Shuffle, take heart: it's pretty easy.
These instructions apply (with minor variations depending on the model) to the following iPod Shuffle models:
Begin by plugging the Shuffle into the included USB adapter and plugging that into a USB port on your computer. When you do this, iTunes will launch if you haven't already launched it. Then, in the main iTunes window you'll see the Welcome To Your New iPod screen shown above. Click the Continue button.