Thanks to DRM, it’s not so easy. There are a bunch of ways this might work.
If the tracks are iTunes Plus DRM free tracks, you might be able to right click on them and do “Convert Selection to MP3”. Once that’s done, drag the MP3 version right from the itunes window to an open Windows Explorer window showing the contents of your Shaker.
If the tracks you bought are the standard DRM-infested ones, it’s a little more complicated.
Get some blank CD-ROMs. Highlight a dozen or so tracks, then choose File: New Playlist from Selection. Call it Disk1 or something. Then go to the playlist area, right click on the playlist, and choose burn to disk and put in a blank CD. Burn, baby, burn. Then go to Edit-Preferences-Importing and choose MP3 format instead of AAC or whatever it’s set to. Then stick the CD back in and re-rip the tracks back into iTunes. Then drag your new MP3 versions over to the Shaker.
Swear loudly. Go to amazon’s mp3 download store and re-buy all the songs you just bought and figure out how to manage them with or without iTunes. Deal with the ongoing headache.
Swear loudly. Return the shaker or sell it on craigslist. Buy a iPod Shuffle to make things easier on yourself. The extra $50 can be worth several hours of torture trying to make the shaker work if you’re not sure what you’re doing.