I just got a new Nano and I synced to itunes.  My computer tells me to eject before disconnecting but when I try, it says I shouldn't because the files are in use by another application.  What does that mean?

Can someone please help me?

There may be a background application running that accesses mounted volumes.  The iPod storage "disk" is a mounted volume.  For example, this applicaiton may be something that monitors for data corruption or malware ("viruses").  If you know of such an application that you have running, and it has settings that allow you to ignore particular volumes, set it to ignore the iPod's disk.
Alternately, if you use automatic syncing (instead of the manual method) to load the shuffle, turn OFF the Enable disk use setting (unless you actually use the iPod as a storage disk).  With disk use NOT enabled, iTunes only mounts the iPod's disk when syncing.  At other times, the iPod's disk is unmounted.  Therefore, "other" applications cannot access the iPod's disk and make it "in use."  Because the iPod's disk is not mounted (unless iTunes is syncing), you can actually disconnect the iPod without clicking the Eject button.

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