Deleting songs from an Ipod shuffle

I accidentially downloaded my entire library into a new ipod shuffle, but only wanted to download one song. Instructions in the manual indicate to select iPod shuffle in the Source pane, select a song or other item on iPod shuffle and press the Delete or Backspace key on the keyboard. It also indicates that manually removing a song from iPod shuffle does not delete the song from the Library. However, when I followed these steps, a message popped up that stated if I continue, the song would be removed from the library. How do I sucessfully removed the song from my iPod, but not from the library?