iPod Shuffle supporting software
When you formatted it, you may have deleted its internal software. Never format iPods from Windows Explorer, Disk Utility, or anything that's not iTunes.

To fix this, launch iTunes, plug in the iPod, and restore its software from there. As this will format the disk, you should back up anything you have put on the iPod in the meantime.

Also remember that you have to use iTunes to put music on the iPod - you can't just drag files onto it.