iPod Nano is correct. You can only sync with one library at a time. However, you can most certainly connect to both if you manually manage the music on the iPod. The only caveat is that you have to make sure it's Windows formatted and not Mac formatted (iTunes on Windows will format it as FAT32, which both OSes can read, whereas a Mac will format it as HFS+, which Windows can't read natively).
So to summarize, connect it to your Windows PC, have iTunes format it, then check the settings allowing you to manually manage your music. Then connect it to your Mac and check off the same setting. You should now be able to manually add music to your iPod from both computers.