Did you not get a USB cable in the box with the BlackBerry?
Before you put media on the device, get a micro SD card if one didn't some with the BlackBerry.
The two easiest ways to get media on the phone in bulk is to either use the Desktop Manager application (on the disc, or download from blackberry.com), or drag and drop from the computer to the media card. To drag and drop, you'll need to enable mass storage mode in the device options.
Play with the device and drill down through all the menus and options. If you don't understand something, open the menu and select help. The help screen will most likely open to the section on the screen you were looking at.