The first thing that you need to do when you get iPhone 4. Download iTunes 10 for your Mac or PC. No worry, iTunes is a free application. It organizes and plays your digital music and video on your computer. Help to sync data between iPhone and Mac or PC. And iTunes Store to purchase and download applications, games…
iTunes helps to connect Mac / PC to iPhone ~ copy applications, games, songs, movies and books. So be friend with it as you are going to use it a lot.
Download iTunes 10 for Mac & PC here.