Uploading games

Goto http://www.apple.com/itunes/ and click the Download iTunes button. Download and install iTunes, launch it, plug the cable into your iPod and the other end into your computer. It will mount and appear in your iTunes program on your computer. Goto the Store in iTunes, register an account, here is where you will shop for free and paid apps and music.
If you don't have a computer, goto the App Store on your iPod and you can download apps directly over the internet (you will have to register an account first).