Being a newbie, I'll go easy on you. The Blackberry is not a music, mp3 or video player. It is a combination cell phone, email and PIM device. Plain and simple. What Finch meant is that if you want to hear music on your phone, you should have done some research before you purchased a Blackberry or bought a seperate mp3 player. There are a gazillion phones that will play music, videos, take pictures and etc. The Blackberry is not one of them.
If your looking to download ring tones, please review the FAQ's for the Forums. There is an excellent search feature and you will have no problem finding threads with plenty of information on how and where to download ringtones from.
I believe there is a program that will allow you to play MP3s... at least as ringtones, but I can't think of the name (or I could be totally wrong). Check out Handango.com for a good list of BB software.