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Itunes. You go to Itunes and make an account if you don't alredy have one and from there its perty straight foward, you show for apps songs e.c.t. and download them.
The iTunes Store is the legal way to do so. Purchase what you are looking for and then download it to your itunes program and sync it into your ipod.
read the instructions. its been a long time since I owned an iPod but I remember it was pretty straightforward.