In order to play videos on your iPod, your videos need to be in the correct format. If your videos are downloaded from the iTMS (iTunes Music Store), then you are fine, and do not need to be transcoded. However, if they are not, you will need to convert them to mp4 using either of the following guides.
After that, you need to add your converted video file to iTunes ("File" --> "Add File To Library").
Then, right click your iPod's name in the "Source" column, and click "iPod Options". Make sure your iPod is set to "Automatically Update All Videos". Then, each time you connect your iPod to your computer, any new video files will be added to your iPod :-)
I am trying to right click and select "automatically update all videos" and that area is all gray and will not let me click anything......What could that mean?