To transfer any apps, songs, and shows you may have purchased or downloaded to your phone, you need to go back into iTunes once that initial sync is complete. (Do not disconnect your iPhone when the first sync is done.)
Using the tabs in iTunes, select which Apps, Ringtones, Music, Movies, TV Shows, Books, and Photos you'd like to sync to your iPhone.
After you've made your selections, hit the "Apply" button that you'll see in the lower right-hand corner of the iTunes screen. iTunes will sync the files and media you've selected to your iPhone.
You can now skip ahead to step fifteen.
