Welcome to BBF. You can download themes, wallpaper, ringtones, and apps directly to your BB from the web, or copy media files from your PC. You can install apps from your PC to the device also if you have Desktop Manager and the phone OS installed to your PC. You don't need to download them through Sprint.
Take a look around in the
BlackBerry FAQ, and in the Media section, and the AfterMarket software section of this forum. Crackberry.com also has free wallpaper and ringtones, and a software store where you an buy apps. Also click on the BBF sponsors ads here for some great apps.
There are plenty of free wallpapers and ringtones, also free themes and some free software. Again, check in the FAQ.