In most cases, doing a Restore in iTunes does the job. That Reset Utility was released, because in a very small percentage of cases, the standard Restore in iTunes did not do the job for 1st and 2nd gen iPod shuffles. NOTE: Later shuffle models did not use this utility at all.
So, you shouldn't use that utility, unless doing a Restore in iTunes (from the iPod's Settings tab) did not work, OR the shuffle is seen by Windows, but not by iTunes (so you can't do a Restore). Is this your situation?
With the shuffle connected, look in the sidebar of iTunes (left side of window). Under DEVICES, find the shuffle. Select the shuffle there, and over to the right, go to the Settings tab. If the shuffle is 3rd or 4th gen, go to the Summary tab.
On that tab, there should be a button for doing a Restore.