As Passi22 said if you use iTunes it's easy to transfer the music onto the shuffle.
Emul - with all iPods it is not possible to drag and drop files to them - it is possible though on alot of other MP3 players. If a person wants to convert their CDs to MP3 format, as bluetoff wants to do, and then put them on an MP3 player then iTunes is very good.
Bluetoff - if you decide to go with an iPod shuffle then just download iTunes from here:
http://www.apple.com/itunes/download/
and install it on your PC. Before you convert the CDs you might want to configure some settings (destination folder to store MP3s in, bit rate etc), When you start iTunes you can change these settings in Edit - preferences - advanced - general/importing. Perhaps, under importing, you should set Import Using: MP3 encoder (so that if in the future you get a different MP3 player then you can still use the MP3 files) and also a bit rate of 192kbps (this is upto you - with a bitrate of 192 the MP3s will sound as good as CDs, but they take up more space on the MP3 player - with lower bit rates there may be some noise)
After changing the settings - put a cd into the cd drive, when prompted select convert using iTunes (iTunes then gets all the ID3 info and converts the CD).
Initially installing iTunes and setting up the options takes a little bit of time (10 - 15 mins) but once it's done it's a very good program.
Once you have all your cds converted connnect up your shuffle and you can either let iTunes select songs randomly or you can put what you want on it.
Hope this helps.