Is this something that worked before, and is no longer working for some reason? Or are you connecting this shuffle to this computer for the first time?
If it worked before, be sure to try shutting down (powering off) the computer. At the same time, use this procedure to reset your shuffle
Start up computer with shuffle NOT connected. Run iTunes. Connect shuffle.
If that does not help (or if this is the first time using this shuffle with this computer), please post back.