Hi, you can download zune software from this link:
After install it, you should have a Windows Live ID (Hotmail email address) to register it for your phone in Zune software. If you register successfully you can set synchronize options of Zune to synch your phone data such as Pictures,Applications and... with zune application. you can download applications, Music ,... with zune app and install them to your phone.
if you want to learn more about Windows Phone and it's features you can use this link: