Because of the lack of a screen for the iPod Shuffle, setting up this device works differently than any other apple device.
The complete instructions for setting up an Apple device can be found here .
The iPod Shuffle has a different setting than other iPods. In order for you to be able to transfer titles, you must select “Enable Disk Use". You may need to scroll down in the window to find the setting. If it is not selected, please select it and hit the apply button.
This should allow titles to transfer to your iPod Shuffle.