Searching for this would be a good start. Granted it is NOT that intuitive. Once you have it downloaded you need access to the SD card. With the phone plugged in you'll see you have the USB icon in the notification bar. Bring that bar down and click the icon. It will mention that you have to choose Mount to get access to it. Click Mount.
Now you'll have access to the card. You should do some research here. You can just drop your music right onto the root of the card but I wouldn't. Create a folder called Music off the root. Under that you can place your music there in any structure you like.
Mine is setup like this:
/Music/Artist/Album/Artist - Trackname.mp3
This structure also supports album art in the Album folder and it gets used by the phone.
Hope that helps.