Go to the nearest Apple store. The free help there is awesome.
Keep in mind that you have to "sinc" the ipod to only 1 computer. Make sure that computer has a great internet connection and USB II ports help a lot also. If you don't have usb II, you can get an add on card pretty cheaply.
The initial set-up stinks if you are using a PC. You just have to keep re-running the set-up until it completes.