The official way is to use iTunes, download it here:
http://www.apple.com/itunes/download/
Basically you have a choice of synchronising or manually managing, I prefer the simple way of manual but you may prefer the automation of syncing.
It's as easy as dragging your MP3/CD Icon (in iTunes) straight into your iPod on the left if you are manual, or dragging it to your library (top left) and then syncing if you are a syncer.
Theres a bunch of HowTo's and videos here:
http://www.apple.com/support/itunes/
BEWARE you may have trouble managing your iPod from different installations of iTunes (basically from different computers) as iTunes kind of restricts the portability of music, like you can't goto your friends house and give them music off your iPod with iTunes, or if you are syncing, you cant sync from your home computer iTunes then sync later from your work computer iTunes. There are other programs to help with that kinda stuff like TouchCopy.
Contact me at
http://scr.im/plinth if you want to know more.