Just got a daschund that is 5 weeks and 2 days old. He cries a lot and shakes? What should I do?

He's too young to be away from the litter. You should have waited until he was at least 6 weeks or more. Right now you need to bond with the little guy. Give him lots of human contact and hold him a lot. Also have him watch TV with you beside you on the couch. Yes, on the couch. He's scared to put it mildly. You need to do the old clock ticking thing with him as well. Play with him as much as you can so he forgets where his other litter mates are. Put the TV on during the day or a talk radio or music radio on when you're not there so he doesn't feel so alone. Right now he's just scared to death.

Spot on twinkie.
It is ILLEGAL to purchase a puppy under the age of 8 weeks.