No, not every iPod comes with an iTunes CD. I have a 8GB Nano, and I had to download iTunes; there's no CD. You can download from other sites, I use Yahoo!'s, but I have to burn all of my songs onto CDs and then put them back into the computer so that I can rip them into iTunes. For me, iTunes won't just put any song from Y! onto my iPod (nor can Y! sync with my iPod, thanks Apple), so I have to rip them from a CD so iTunes thinks it's regular CD music. And I have to burn it audio, not mp3, because then those same Y! files are on the CD, and iTunes won't take those.
Sorry if this doesn't really help. It's just what I have to do.