Yes, you need a media card. Once you have that, you can use the Desktop Manager / Media Manager app to copy music from your PC to your BlackBerry. You can also do what 003402 said without using Media Manager, but you have to install Desktop Manager to your PC to get the drivers for the USB connection. This article in the FAQ explains the details.
How do I add media files to my microSD card? - BlackBerryFAQ