The biggest confusion for people moving from some other MP3 player to an iPod is that the iPod isn't just a big hard drive that you drag and drop your music into. You have to use iTunes (or one of the third party hacks that are out there, but you really have to have something viscerally against iTunes to want to use them at this point)
If you can get over organizing your music in the windows explorer in folders on the disk, and get used to organizing it into playlists in iTunes you will almost certainly find a lot of stuff in there that you didn't know you couldn't live without
a nano wont hold your entire library, so iTunes can fill it with a random selection, or your highest rated stuff or you can even create a playlist with 100 randomly selected songs that haven't been played in the last month like I have so that I can always get something I haven't heard in a while if I want to. Smart playlists like that are realy useful. And it wil automagically keep all your latest podcasts up to date and download them everytime you plug it in no problem. I would highly recommend you at least give it a fair chance even if you have to work to wrap your head around doing things a little differently.
as far as getting a CD onto it, load iTunes, insert disk, click "import" and make sure you add the album to one of your playlists that is getting sunk to the iPod. Then plug in the iPod to sync.