Second, you need to press and hold the MENU and SELECT buttons for several seconds until the Apple logo appears. It may take as long as 10 seconds. It may be necessary to repeat this step twice.
If this doesn't work you may need to do a complete restore on your iPod. Backup any music on your iPod, connect it to iTunes and right click on your Nano's icon in iTunes. Then choose the restore option.
You're in a panic because your iPod Nano is frozen. Rather than removing the battery, or running to the Apple Store every time your Nano freaks out, learn how to reset your frozen iPod yourself. Please refer to my other articles on how to reset a frozen iPod Touch, Classic, and Shuffle if you have those models.
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