What do you mean "downloaded a cd?" Did you "rip" a CD using iTunes? Did you copy the tracks off of a CD directly onto your computer using the Finder? Ddi you download the music from the internet? Please elaborate.
Most of the time, if your iPod will not correctly receive audio files from iTunes, that means that the audio files are in a format that is incompatible with the iPod -- what format are your audio files in? MP3? AAC? AIFF? WAV? Apple Lossless? OGG? FLAC?