iTunes has a feature called Automatic Sync, which is designed to keep your iPod music library synchronized with your iTunes music library on your PC. If this feature is enabled and you sync with iTunes, this also means that iTunes will automatically remove music from your iPod if it is not present in the iTunes music library on your PC.

If you use Windows Media Player to sync your iPod, you need to turn off automatic sync in iTunes. To do that, check the checkbox 'Manually manage music and videos' in iTunes.

For more information, see the Apple knowledge base article HT1351.

http://support.apple.com/kb/ht1351