I have an itouch question!?

so i just got a new ipod touch and i tried to download apps but it wont work. Every time i try to install one it says authorization failed. Please Connect to iTunes. I dont know what to do.. i dont know what it means by connecting to itunes.. do i have to plug it in to the computer< go on the internet and go on itunes? I have tried all of that and nothing is working!! PLEASE HELP!! thank youuu