All you need is your phone (with the memory card inserted) and the supplied USB cable (the grey DCU-60 cable).
Connect the USB cable to one of the USB ports on your computer, and then attach the other end of the cable to the bottom of the phone.
Let the computer auto-install the phone and memory card (this will happen automatically). When asked if you want to use the internet to download the relevant softwate keep clicking 'Yes' or 'I want to use the internet this time and everytime I want to connect a device'.
Once the installation is finished, open the Memory Card in:
Start>MyComputer>Removable disk
Now you are in the memory stick folder - just open the folder titled 'MSSEMC' and choose Audio>MP3. Now all you do is copy and paste your music files into this folder.