I haven't read the above link, so sorry if I'm repeating.
iPods work like this: you download (for free from apple.com) iTunes, which is like Windows Media Player in many ways. You add whatever music you want to your library in there, and can use it on your computer fine. You can do all this before buying an iPod. When you do buy your iPod, all the software does it copy from your iTunes library to your iPod (and not the other way).
So, what you want to do is download iTunes, and then drag and drop all your music into iTunes' library. (Before doing this, go into iTunes preferences, advanced tab, and make sure it's set to copy music to your iTunes library folder, and it's set to keep the folder organised.) You may be able to drag and drop the song titles from Media Player directly, or you may need to find the actual files on your computer and drag and drop them. Assuming they all import ok, you should check they play fine in iTunes, then erase them from Media Player (to avoid taking up double the room).
If you do have issues, it'll be because files you've ripped with Media Player are protected (iTunes can convert unprotected .wma files easily, but not the protected ones because it's illegal). This is an annoying outcome of ripping with Media Player, and means that you'll have to rip them again with iTunes (it'll be set as default to AAC 256kbps which is good quality, and no protection).
Amazon mp3s will be fine, as they have no protection.
If you plan on buying music from the iTunes music store (it's easier then from Amazon because it's more integrated once you use iTunes), then make sure the song has a '+' next to it, meaning iTunes Plus, their unprotected format. This will prevent issues with protection (called DRM) happening again.
It sounds a bit complicated, but it's all very easily really!