You will have received a USB connector along with your iPod Nano. Plug one part into your iPod, and the other bit into the computer. If you haven’t installed iTunes yet, install iTunes on http://www.apple.com/itunes/
After you’ve installed iTunes, it’ll recognize your iPod Nano and you’ll have to answer a few questions like zenvelo said above in order to register it. After you’re done, you can sync your contents on the iPod nano.