Did this work before, and is not working now for some reason? Or is this the first time you are connecting this shuffle to this computer?
If you have not already, shut down (power off) your computer. Use this procedure to reset the shuffle
http://support.apple.com/kb/HT1655
Disconnect all USB devices from computer (including USB hub). Connect only standard keyboard and mouse, if it's a desktop computer. Start up computer. Run iTunes. Connect shuffle.