Hi, there are a few things to make sure of first.
1) Is the cable firmly seated in the iPod's earphone socket, and in the USB port? If so, do any LEDs light up when it is connected? Do you hear the Windows chime sound for connecting and disconnecting a USB device?
2) Ideally use a USB port that is built into the computer, and do not use one on a USB keyboard or an unpowered USB hub.
3) Leave it connected for a few minutes before giving up on it, because sometimes it takes a little time to charge up.
4) Try a different USB port, and/or
5) Check in "Device manager" on "Control panel" and see if the iPod appears there.
If you are still stuck, please post back what version of Windows you are using, and anything interesting that happened while trying these steps.