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Before you can have hours of iPod fun, you need to install the iTunes program on your computer. With iTunes, you also get Apple's QuickTime multimedia software—a video helper for iTunes. iPods once came with a CD packing all this software, but these days you have to download it yourself:
Fire up your Web browser and point it to http://www.apple.com/ipod/start.
Click the "Download iTunes" button. (Turn off the "Email me…" and "Keep me up to date…" checkboxes to spare yourself future marketing missives.) Wait for the file to download to your computer.
When the file lands on your hard drive, double-click the iTunesSetup.exe file. If you use a Mac, double-click the iTunes.dmg file and then open the iTunes.mpkg file to start the installation. But if your Mac's younger than five years old, you probably already have iTunes installed. Go to Menu → Software Update and ask your Mac to look for a newer version just in case.
Follow the screens until the software installer says it's done.