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Use the App Store button on your Home screen to browse the apps available to download. There are many free options available. Use the iTunes button on your Home screen to browse available music and videos. Most require a purchase. You can use iTunes on your computer to transfer music, videos, and pictures files to your iPhone. In order to install Apps from other sources, you will need to jailbreak your iPhone. Check out the wikiHow article on the jailbreaking process.
Download new applications. Download new music and videos. Transfer music and videos from your computer. Install apps not found in the App Store.