How do I download and install itunes software to use an ipod shuffle?

I recently purchased an Ipod shuffle and, not being familiar with downloading and computer products, am having difficulties figuring it out.  I clicked on the download button, then after less than a minute it went to another screen that said it was downloaded and that was it.  I found the download in my download file but there was no instructions or button to install it.  Can someone please give me some step by step instructions on what I am to do so that I can start using my ipod shuffle.
Thanks,

Is your Windows Vista 32 or 64 bit?
To find out if your computer is running 32-bit or 64-bit Windows, do the following:
Open System by clicking the Start button, clicking Control Panel, clicking System and Maintenance, and then clicking System.
Under System, you can view the system type.

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