No, you can't do anything and you should immediately request a refund or contact the seller/web-site's administrators from where you acquired the item because it might be stolen or reported as stolen, therefore getting you in trouble. If you bought it from Ebay, open a CASE and they will refund you immediately.
Locked devices shouldn't be sold on the market since no one will be able to unlock them except Apple, but you will be paying 3x the price of the iPod to unlock it or somewhere around it.
