It would be helpful to have some more details. Did you install the latest version of iTunes?
When you connect the shuffle while iTunes is running, is it recognized by iTunes? Look in the iTunes sidebar (along left side of iTunes window). If the iPod shuffle is recognized, it should say DEVICES in the sidebar, with the shuffle listed there?
If the shuffle is recognized by iTunes, and your question is more about HOW to set it up to sync, this article goes over the basics
You can post back with more specific questions...