The next step in setting up the iPod Shuffle is to sign in to, or create, an Apple ID/iTunes account. You'll need this both because it's associated with your Shuffle (or any other iPod/iPhone/iPad you use) and because it's required to purchase or download music, podcasts, or other content from the iTunes Store.
If you already have an iTunes account, sign in with it here. If not, click the button next to I do not have an Apple ID and follow the onscreen instructions for creating one.
When you've done this, click the Continue button.