The “Most Played” is a default playlist. Like all playlists, it is populated and controlled from iTunes.
So, plug in your iPod and connect it to iTunes. Make sure you add the “Most Played” playlist to the set of playlists sync’d with your iPod. You can rebuild it as a new smart playlist (File > New Smart Playlist…) if you’ve somehow removed it from iTunes.
Now, when you’ve got your iPod with you, you can select the “Most Played” playlist. The playlist will not update “live” on your iPod, though. It only updates via iTunes.
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Edit: should have written “Like almost all playlists…” as you can create On-The-Go playlists with the iPod directly.