There are perhaps as many ways of transfering the files to your iPod or other digital audio player as there are brands of players.
Given that, consult the manual for your player where you'll find detailed instructions on how to transfer them.
Most players use the MP3 (.mp3) format. If yours does not, hopefully we have a format your player uses. If not, there are many programs available online with which you can convert .mp3 files into your player's format.
Try these sites and search for audio converters:
tucows.com
download.com
versiontracker.com