I Went To Jailbreakme.com! They Told Me I Had To Downgrade. Okay..So I Went On YouTube, I Seen All These Videos About Jailbreaking It! They Were Useful Until I Heard This Will Only Work If Your iPod Has Been Jailbroken Before! I Had My iPod Jailbroken, So What Do I Do? So Confused!!!!!
In order to use jailbreakme your device must be on 4.0.1 or below. You may only downgrade if you have SHSHs saved. I'm going to assume since you've never jailbroken before, you don't know about SHSHs so you don't have them.
I could be wrong, but you might check for them by downloading tinyumbrella from thefirmwareumbrella.blogspot.com on your computer. Click Save SHSHs and check the log to see.
You could also just jailbreak with your computer on any firmware you are already on right now. It depends on which firmware and which iDevice you have for the correct jailbreak tool to use.