adrianasanchez, download the manual. It is available [http://manuals.info.apple.com/en_US/iPod_nano_4th_gen_UserGuide.pdf|right here]. It says that:"
Turn on iPod nano - Press any button.
Turn off iPod nano - Press and hold Play/Pause
The Nano technically does not turn off, it goes to sleep. When it goes to sleep, it saves the battery.After holding down the play/pause button, it will turn off, or go into low power mode, after a period of time. If you turn it on immediately after pressing the button, it will just awake. Hope this helps, good luck.