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If it is music you have created yourself then you can send it to anyone. If it is music created by someone else that you have purchased (or acquired otherwise) then it is illegal for you to send it to someone and for anyone else to receive it unless you actually own the copyright and distribution rights for the music.
Yes, iTunes store. It comes with the iPod.
Rip the music files to your computer and then sync the ipod to it via itunes
The ipod nano without the video and the ipod nano with video.
No.