Hi,
Firstly in order to download games you have to have connection to the internet setup on your dsi. If you haven't done this it can easily be configured by following the walkthrough on-screen. After that make sure you have the latest dsi software installed by tapping on the 'settings' tab on the bottom screen and scrolling using the arrows to the end page where you should find a 'system update' option.
Click on that, update (if necessary) and restart.
Now you are ready to download games directly onto the system by selecting the 'Nintendo Shop' from the tabs on the home screen. As this is your first time on the store you will already have a few points in which you can purchase the games you want (for free).
However if you want music on the sd card you can use a computer with a SD card slot and once the music is on your computer, make sure it is the right format for the ds and copy it to the appropriate folder on the SD card.
Unfortunately you can't put movies on your Dsi as it does not support them.
Buying a PSP is an option if you want a better/more suited system to handle music, pictures, games and movies.
I hope I answered your question.
:)