how do I download only certain albums

Sync them to your device:

iTunes: Syncing media content to iOS devices and iPod

Yo can also syncing using the manual method

Managing content manually on iPhone, iPad, and iPod

You can also redownload them directly to the device

Downloading past purchases from the App Store, iBookstore, and iTunes Store

Your post suggests that you're new to iPod, but how to I get only those albums on to my ipod? suggests that you already have music on your Mac, so it's a little unclear what information you need.

Assuming that you are new to iPods, I'll start from basics.

• Import the music into your iTunes Library. (I assume, since I'm a Windows user) that iTunes comes pre-installed on a Mac.
• Connect your iPod to the Mac and wait for iTunes to see it. (My advice is that you use Sync to manage your iPod, and not Manually Manage.)
• You can either Sync Entire Music Library, but then select songs that you don't want synced by turning off the tick next to the song title and choosing Sync only ticked songs and videos. (Ask in this discussion if you need more help with any of these points.) ORSync Selected Playlists.
• By using Sync selected Playlists you can put songs into Playlists (in the iTunes Library) and then choose to Sync just those Playlists to your iPod.
• The option to choose between Sync Entire Music Library or Sync Selected Playlists appears when the iPod is connected to iTunes.

These points above are just a brief outline. Until we know what stage you are at, it's not really possible to give you a full answer. So let us know where you are then plenty of us can offer more specific information.