I don't have the shuffle, have the Nano, but the program should be the same. When Itunes is open on your PC and you are in your music library check to be sure that there is a 'check' mark next to all songs that you would like loaded. When you plug the shuffle in to load it the screen that comes up has option on the bottom that you can place 'check' marks by. One is to 'sync' all items that are checked. I am purely guessing here, but that may be the problem.?? It will tell you when it is done loading and when it is OK to disconnect. I have accidentally disconnected before it is done syncing and it caused to not to download anything. Gosh I hope it works!!!
iTunes doesn't need to convert mp3s. Once a file is mp3 - it can play natively in iTunes. What you may be thinking of is AAC format that is proprietary. When ripping music from a CD, Apple's default is to encode in AAC, but you change this in you preferences area to mp3 (and choose your bitrate). You may also be confusing mp3 with wma (windows media audio). iTunes cannot play native wma, but can convert to AAC for you. Thusly, keep everything in 256k encoded MP3 format you won't go wrong - plays everywhere and sounds great.
"iTunes doesn't need to convert mp3s. Once a file is mp3 - it can play natively in iTunes." True but from her intial description it looks like they were converted, which sucks. Actually, in my book iTunes just sucks overall.
Anyone who has one of the Apple products clearly wants to get it working, but must be aware that their system seems designed to convert your music to their proprietary format whether you want it to or not. I have to say I'll never buy one - there are some excellent players that don't screw you like this.