You should connect your BB to your pc through USB (direct - no USB hub), configure it to sync to Outlook (it will walk you through the steps), and perform a sync. This will bring contacts, notes, and tasks from your pc onto your BlackBerry. You can add programs and themes through Desktop Manager as well.
Check out BlackBerry FAQ - BlackBerryFAQ
for the ABC's of using your new BB.
I hope you got a genuine BlackBerry Data Plan
for your new device. Without it most of the features won't work.