One of the main gripes with the iPod shuffle is the ease with which you can accidentally go to the previous or next track, or go back to the beginning of the current track by mistake (this is especially annoying with a few-hours-long audiobook, since fast forward on the shuffle is a painful experience, especially if you don't have access to iTunes from which you can reset and save a new track position for that particular audio file). Fortunately, the iPod shuffle comes with a "Click Wheel Lock" feature that prevents these accidents. On the flip side, you may have the puzzling experience that your "Click Wheel no longer works"! This is often caused by having unwittingly locked it.
If memory serves, the 2nd generation iPod shuffle used a physical, dedicated lock switch on the top of the player to lock it; in the 4th generation iPod shuffle, this is simply done with the Click Wheel. To lock your iPod shuffle, press the Play / Pause button (center of the Click Wheel, highlighted on screenshot below) and hold it pressed for three seconds:
When you lock the iPod shuffle, the LED indicator light at the top of the device will blink three times in orange after 3 seconds: this confirms that it is locked - anytime you press a button on the Click Wheel after that, the light will give you a visual feedback in orange - nothing else will happen: as you guessed, this means that you cannot change the audio sound volume playback when your shuffle is locked (except for headsets that include volume controls).
When you unlock the iPod shuffle, the light will blink three times after you've held down the Click Wheel center for three seconds: after that, any press on the Click Wheel will give you a visual feedback in green, and the iPod will perform the corresponding action.
Tip: unlocking or locking your iPod shuffle only works when the player is unplugged from your computer (ejected from iTunes). Nothing will happen when pressing and holding down the Click Wheel otherwise!
Note: if you press and hold the Click Wheel and nothing happens, it may not mean anything about the locked-unlocked status of your iPod shuffle. If no light turns on after a click, your iPod either needs to be recharged (completely empty battery), or that it is currently turned off altogether. When the three-way switch button at the top of the device is closest to the outside corner, and shows a metallic gray tray, your iPod shuffle is currently off (not locked). In that case, move the three-way switch towards the inside of the iPod: switch in the center means sequential playback, and switch completely on the left means shuffle: