You simply connect your phone to your PC with the data cable. You will get a notification of a USB connection along the top status bar. "pull down" the status bar and click on the USB notification. A box will pop up, click on the Mount USB option.
At this point, your computer will recognize the phone's SD card just like a "Thumb Drive" and you will be able to open the new drive that appears under your "My Computer" You will see folders and files in it. The DCIM happens to be where the pictures are stored.
You can create a folder called music to put your music in it.
If you want to put sounds and songs that are available as ringtones, create a folder called "ringtones" on the card, and put any mp3, wav, ogg or other sound file in that folder, and it will show up as an option for a ringtone. There is no reason to go out and buy ringtones for your Android Phone.
If you want to add sounds for notifications (emails, messages etc.) create a folder called "notifications" (again, without the quotes) on the card, and put sound files in it... Those files will show up as notification optoins...
After you get your sounds and songs transferred to your phone, pull down the notification window, and click the option to disconnect USB drive, and your phone will then be able to see the new songs and sounds you just added.
Good luck, and enjoy your new Android phone!