Did you have a previous Android phone? If not, applications won't transfer, regardless (different operating systems). Otherwise, if you export your contacts from whatever system they're currently in, you can import them at google.com/contacts and they'll automatically sync to your phone.
Photos and music can be stored on the SD card, just connect the phone to your computer via USB, drag the notification bar down and click on USB connected and tell it to connect. You'll get a new hard drive listed on your computer and that'll be the SD card in the phone. Alternatively, you can add pictures to Picasa and those can be synchronized as well.
As for messages, are you referring to texts or emails?
