First, you will have to download Zune marketplace (direct link) for Windows Phone and install it. After its installation, log in into it with the same Windows Live account that you use with your phone. Then, connect the phone to the computer and the Zune software will automatically start syncing with your smartphone. Just drag and drop on the phone’s icon to sync it. You can also select what albums you want to transfer. All your music can be found in “Music and Videos” app on your phone.
However, if you get your music from Amazon or from nasty sources (you know what I mean), you will have to add them to Zune. Do that by going into ‘collection’ and click on ‘update the folders you monitor for music’. Under ‘music’, click on add folder and point it to the folder where you store your music. Click ok.
That is it. Just sync them with your phone by going to the ‘phone’ tab.