With a relatively small amount of storage by today's standards (2Gb), your iPod shuffle will quickly fill up, especially if you have configured it to automatically synchronize ("sync") with content from your iTunes library - be it music, audiobooks, or podcasts. We'll start this tutorial with a simple trick that puzzles quite a few users who find themselves unable to delete music and other MP3 / audio files from their iPod.
A common puzzler is when you are trying to remove audio files from your iPod shuffle, and don't seem to be able to do it. This simply means that iTunes has customized it to automatically synchronize your library's content. As long as this setting is enabled, you will not be able to delete files from your iPod. Just go to the appropriate tab ("Music", "Podcasts", or "Books"), and uncheck the "Sync Music", "Sync Podcasts", or "Sync Books" checkbox; as soon as you do, iTunes will resume allowing you to manually manage your audio content, namely deleting it - first, click on the "Don't Sync [media type]" button of the confirmation message that appears: "Are you sure you do not want to sync [audio content type]? All existing [songs] and playlists on the iPod [device name] will be removed".
Note: whenever you add audio files to your iPod shuffle from your iTunes library, only a copy of that particular file is added to your iPod. In other words, deleting files from your iPod shuffle will not affect the original files in any way, and you'll only be removing a copy of the files in question.
Once you have connected your iPod shuffle, select it on the left pane in iTunes' main window. Then, click on the appropriate tab (either "Music", "Podcasts", or "Books"), and scroll to the very bottom of that screen. Finally, under "Manually Added Songs" (for example), select the file you want to delete, and click on the "Remove" button. As soon as you click on the "Apply" button at the bottom, iTunes will start syncing your iPod shuffle, and delete all files in question (or click "Revert" to keep them).
Tip: you can delete multiple audio files at the same time from your iPod shuffle; on Windows, just hold down the control key ("Ctrl") on your keyboard and keep it pressed while clicking on each song, one after the other - and then click on "Remove".