This is probably a dumb question but I just got my 8830 and I am wondering how I transfer music/movies to my phone. Whenever I run the desktop manager and click on the media manager button it just goes gray and nothing happens. Also if i open up my computer and click on the device it says that it has to format the drive, do i need to format it or what?

Sorta, but read the FAQ first!
Detail here: Main Page - BlackBerryFAQ

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When I try to do option 1 on the forum(xfering through windows explorer) it asks if i want to format the drive. Is it safe to do that to a micro sd card? When I do option 2 and I click the media manager button no new windows pop up like it shows in the example.

Yes, format the drive if required.