If I remember correctly, the nano won't turn on, until you've got it plugged in correctly, that first time. And you can't really do
anything with it until you've got Itunes installed and running.
I'm pretty sure you don't even have to turn the ipod on...just plug it in, and it automatically turns on, and connects to itunes (although I switched the option to have itunes automatically open off)
This should be what yours' looks like when it is plugged in