Is your "CD collection" already on your Windows computer (as song files)? If so, you need to add them to your iTunes library. If they are in WMA format (unprotected), iTunes cannot play them, but iTunes can convert them to a compatible format while adding to your iTunes library. If the are in MP3 format, iTunes can play song files in that format. Once the song files are in your iTunes library, you can set up syncing with your iPod.
To add songs to your iTunes library, from the iTunes menu bar, you can use the File -> Add to Library command. You can select song files, or folders containing song files. Alternately, you can drag song files (or folders containing song files) from a Windows Explorer window to the iTunes window, and drop. iTunes adds (or converts) all compatible items it finds to the iTunes library.
After the songs are in your iTunes library, please post back for tips on setting up syncing with your iPod.