This article provides instructions for syncing an iPod shuffle.
If you have more specific questions, please identify your iPod shuffle type along with the question. The four types are shown in the above article.
If your shuffle is the current 4th gen (or 3rd gen), the most convenient way it to create one or more playlists in iTunes for songs you want on the shuffle. Set those playlists to sync to the shuffle (instead of your entire library) on the shuffle's Music tab in iTunes (select shuffle in the iTunes sidebar under DEVICES and look over to the right). You can update those playlists at any time, even when the shuffle is not connected. When you connect the shuffle, any changes made to those playlists are automatically synced to the shuffle.