Select a name for your iPhone. This allows you to identify it when it is connected to iTunes.
You can opt to sync contacts, calendars, browser bookmarks, notes, and e-mail accounts with your new iPhone on this screen. This will sync the information that is currently stored on your desktop. If you want to access a different e-mail account or contacts with the iPhone, you can set that up later on the phone.
Once you click "Continue," you'll see a message on your screen that the iPhone sync is in progress. Let this run, and do not disconnect your iPhone from your computer while it is running.