How can I add shared music downloads to my iPod?

What do you mean by 'shared music'?
If you mean music you got from a P2P, you merely have to import the
songs into iTunes, then transfer them to your iPod.

But if you mean that they're on another computer, it's easiest to burn
them to a CD first, then import them onto your computer like a regular
CD.

NO NO NO HE IS WRONG
Ipod wont accept any .wmv files and most shared files are wmv so u
can't. best just to pay for itunes because all thost yahoo and
whatever are in that format.

Actually, most P2P files are in .mp3 format. But anyway, regarding
that, if they are in WMV, you ahve two options:
1) If they have DRM (Copy protection), you can burn them to a CD then
re-upload them using iTunes.
2) If they don't, you can get a converter from .wmv to .aac or .mp3