brooks2062,
Congratulations on recently purchasing an iPhone! I have the iPhone myself and love it, so I am sure you will as well. In regards to downloading music on your device, the best way to complete this task is going to be going through iTunes or the Apple App store. The Apple App store should have several 3rd party applications you can download music and play on your device. In addition any music that you have saved in your iTunes library can be synced and transfered to youre device.
Thank you,
Georgep_VZW
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