Ash, check on here http://support.apple.com/kb/ht1407 . It looks like the flashing orange = busy, either syncing or in use as a remote disk. If you check the manual on page 19 it tells you how to enable it, or in your case, disable it. I wonder if the orange lights will stop if you disable it as a remote disk. Here is the manuals.info.apple.com/en/ipod_shuffle_features_guide.pdf''italic text''
To enable iPod shuffle as an external disk:
1 Connect iPod shuffle to your computer.
2 In iTunes, select iPod shuffle in the Source pane.
3 Click the Settings tab.
4 In the Options section, select “Enable disk use.”
Note: You may need to scroll down to see the disk settings.
5 Adjust the slider to set how much space to reserve for songs versus data.
6 Click Apply.
When you use iPod shuffle as an external disk, the iPod shuffle disk icon appears on the desktop on the Mac, or as the next available drive letter in Windows Explorer on a Windows PC. There is also more info right here Good Luck and let us know if it works