If you just bought it, it is under warranty (for one year), so in the worst case, you'll need to contact Apple to get it replaced.
You are using an Apple USB dock connector cable to connect it to a power adapter and USB port on computer? When you say it is
completely dead. It never came back... It is frozen
are you saying it does not charge when connected to power and the screen is blank (not on)?
Tried holding pause button and neg. volume button at same time.
This is a current iPod nano (?), because it does not have a physical "pause button." This is the procedure to Reset an iPod, which you should try while it is connected to power.
http://support.apple.com/kb/HT1320