1. Right-click the file(s) you desire and select "Save Target As..." from the popup menu
2. Select a location to save the files to.
3. Make sure your iPod is plugged into your computer via the USB cable (provided) and open iTunes.
4. Within iTunes create a new playlist for your iPod, to do this click on the iPod icon with your mouse, then on your keyboard press Ctrl + N. You should now have a new "untitled playlist"
5. Rename the playlist
6. Go to the location where you saved the file(s) from step 1; click and drag the files into the playlist
7. When the files finish copying to your iPod you will be able to play them from the play list you created on your iPod.