When the initial sync is complete, you'll see a summary screen in iTunes. Here you can see basic information about your phone.
If this is your first time using iTunes, you can add your music, video, and photo collection to the software, and then sync it to your iPhone. If you already have your media collection organized in iTunes, you can manage what information and files (including music, apps, photos, and videos) you want to sync with your new phone.
Once you've decided which information you'd like to sync to your new iPhone, press the "sync" button in the lower right corner of the iTunes window. You'll see a notification on your iPhone's screen that the sync is in progress; do not disconnect the phone from your computer while this is running.
Once the sync is complete, you can skip ahead to step 10.