You may need to set up automatic syncing. Select the shuffle in iTunes. You see a row of "tabs" (buttons) starting with Summary. Click on Music next to Summary. This is the shuffle's Music tab, where you tell iTunes how to sync songs to the shuffle.
Check the box for Sync Music. If your iTunes music library is really small and fits on the shuffle, you can choose to sync Entire music library. Otherwise, you can choose to sync Selected playlists, artists, albums, and genres, then select (checkmark) the playlists, artists, albums, and/or genres that you want on the shuffle, from the lists below.
Here's one convenient way to set it up. In your iTunes library, create a new regular playlist; call it something like "iPod Songs" (or whatever you want). From your main iTunes music library, load that iPod Songs playlist with ALL the songs you want on the shuffle. On the shuffle's Music tab, find and checkmark that iPod Songs playlist (under Playlists). When you click Apply, those songs sync to the shuffle. Going forward, to update songs on the iPod, just update that iPod Songs playlist in iTunes (add and/or remove songs) and then connect your shuffle. iTunes automatically updates the shuffle with the same changes. If the shuffle is already connected, click the Sync button to update the shuffle.