Just follow the instructions in the quickstart guide, should be no problem, plug in your usb cable to the computer, attach the iPod, I did this with iTunes already launched, a window should come up after you see your computer (if it's Windows anyways) install and recognize the hardware that asks you to agree to terms, etc. After this the iPod will show up in your source window, white if it's white, black if it's black, iTunes will then ask you to register it, after that it takes you to the iTunes Music Store. You can then set your preferences and sync, good luck.
Setup was a breeze really, had a 4G before and iTunes 7.0 was already installed.