You downloaded iTunes AND installed it, right? What you downloaded is the installer, which installs the iTunes app (and other things like drivers) on your computer. You then have to run the iTunes app.
If you did that already, make sure the USB docking cable's plug is completely inserted into the shuffle's headphones jack, as shown in this document
When connected, the shuffle's light should come ON. That indicates it is getting power. If it blinks orange (at least initially), that indicates it is connecting for data.
If you are good so far, in iTunes, the sidebar (along left side of window) may be hidden. If it is, from the menu bar, under View, select Show Sidebar. When the shuffle is connected, it should be listed in the sidebar, below DEVICES. Does it appear there?