iTunes is a free download for every PC or Mac user,
http://www.apple.com/itunes/, iTunes is the software interface that the iphone does use for transferring and syncing music, photos and applications to your iphone. I suppose you are a legal user, and your carrier should have gave you some instructions on how to activate or manage you iphone from you mac o pc.
-just download de itunes from the link posted before and install, following pretty easy steps on installing
-Connect you iphone via the USB cable that came out of the box
-iTunes will automaticaly recognize you iphone and will open the iphone configuration window ( your iphone will appear in the left side of the itunes below you library list.
-Follow the easy steps like naming your iphone and chosse the sync options (manual or automatic) for tranfering you musica, photos and video,
-for more information about configuration and selecting your media just move in to the tabs that appear on the top of the main configuration window for the iphone on itunes