You'll need to use iTunes [which will be found on the CD supplied with the nano, or there is a more up to date version ready for download].
Once you connect the nano, iTunes will kick in and tranfer songs over.
iTunes will offer to convert the songs to MP3 so the nano can pay them.
The nano will be seen in My Computer but you cannot drag and drop songs.
So the first thing to do is to install iTunes and import your music.