Did it previously work with that computer? Or is this the first time you are trying to use that shuffle with this computer?
Be sure to use the original USB cable (that has a "mini-dock"). If you are using a USB cable that came with a 3rd or 4th gen shuffle (with a 2nd gen shuffle), that will not work. The connector is different.
If your Windows is "16-bit" Windows XP, you can try running this reset utility (which is only for 1st and 2nd gen iPod shuffle).
It does something like a Restore in iTunes, but at a lower level, and is useful if iTunes does not see the shuffle for some reason.