When you connect your nano to your computer for the first time, you will be asked to name your iPod, and select whether you want to automatically sync music to your iPod or not. Deselect this setting when iTunes displays your syncing options on the screen.
Then, after you've registered your iPod and all, you can click on your iPod's name in the Source List of iTunes (the Source List is the left panel of iTunes), and under the "Summary" tab, verify that the "Manually Manage Songs" option is selected.
On this manual option, you can drag-and-drop your iTunes' songs from the Library to your iPod.
For more information on manually managing your iPod's contents in iTunes, see this article:
Managing content manually on iPod
-Kylene