Do you have a Mac or PC? Sorry, can't help you if you have a Mac.

If you have a PC do the following.
Connect your phone to your computer's USB port. A message should appear on your phone. Select "As Disk Drive". This will open a dialog box on your computer and your phone can be used like any other drive on your computer. Open the folder in for your phone and create a folder called music. Click and drag the music to your phone.

 

This method works for Mac as well. I own one and this is how I do it. One thing to note (if you're new to Android you may not know), songs protected by Apple's DRM won't show up on your music player on the phone.

You can tell if the song has DRM by looking at the (usually hidden to the right) column called "Kind" in the iTunes player and the song will say "Protected AAC Audio file"