well if you have music, video already on your phone. press the top-left key from the desktop (My stuff) and there are a list of 6 choices Images, Videos, Sounds, Applications, External memory & Play lists. From there it's obvious...
I recommend you to purchase a 256MB TransFlash card from your nearest outlet or online. The on chip standard memory is only about 15MB, the Play list system is ghey because you can't order which songs/media should be played.