How to import music from Ipod Shuffle to Iphone 4?

I want to know the steps to import the music from an Ipod Shuffle to a IPhone4.
I don't know if their is a program that allows you to transfert it without connecting it to a computer.
Or if you have to use ITunes.

Added (1). I do not have a mac.
And the IPod was bought second hand from someone who used it on his Itunes

Syncpod is a free and easy-to-use program that can help you transfer your songs and videos to Mac. You can easily copy songs and movies to Mac with only a few clicks, saving you hassle of changing the settings on your Mac.

I keep all of my music on my PC, then I copy to ipod etc from there and always have the PC as a backup (I also copy mp3's to thumbdrive in case PC hard drive ever crashes).