Loading an iPod can be done by one of two methods.
For iPod Touch and iPhone users, connecting to the app store or iTunes store from the iPod with a wifi/data connection will allow you to download new content directly to the iPod
For other iPods as well as the two above you can import new songs/content into iTunes for PC/Mac. You can also download new content from the iTunes store or App Store (as applicable) to iTunes. Once this has been done, connect your iPod to your computer using a USB or Firewire cable and sync the iPod to iTunes and everything on iTunes that you have selected to transfer will be sent to the iPod providing there is enough memory on the device to accept everything you're attempting to transfer.