What I do is download stuff into the iTunes library before I ever plug the iPod into the computer. Then when I connect the iPod to the computer, the stuff that I choose in iTunes (i.e. the stuff that is "checked") automatically loads into the iPod. I have the 1g nano, so there's TONS more stuff in the library (on the computer) than will fit in the iPod. When I've listened to something I move it off the iPod and by unchecking it in the library before I connect the iPod to the computer. The updating process removed unchecked things from the iPod so that they are now only on the library in the computer.
When I first got the iPod I went to a bunch of sites and just read and read to get familiar with the way the thing works. This is a good site http://www.ipodgarage.com/phpBB2/
Also the online manual for your iPod can be pretty informative.
