iPod Shuffle not connecting

I just bought this Shuffle yesterday and have never had one before. The quick start says plug it it in and follow setup instructions when they appear. It sounds like it should be immediate since it can set itself up while charging. When I connect it to a usb hub and turn it on, the charge light flashes green then goes off. If I press the control ring it is sometimes gree and sometimes orange but the light then goes off. I suppose it is charging. The problem is it has never appeared in itunes devces (though the iPad does) and no set up instructions have appeared. When should this happen? I tried to call Apple but it is not available for complementary service even for a simple question like is this a bad Shuffle. I got it at Walmart so there is no help there beyond an exchange. I would rather know first if it is just something I'm doing or not doing first.

iTunes is 11.05

OS 10.8.4

Older iMac (won't mirror)

I believe it really is charging, probably. The light does go on an off it I turn it on an press the ring but that leaves the larger issue of why it is not showing up on the computer. iTunes has no idea that it is there.