iPhone 4 Sync Issues

Hi All,
I bought my first iPhone on Friday and waited today until I am at the computer I use the most and have most of my music on to try and sync it to get my songs on it. I plugged my phone in with the USB cord and the only thing that it wants to do is download the few pictures I have off the camera to my computer. iTunes doesn't recognize it being plugged in at all and when I go to "My Computer" it shows up under the scanner/camera device area. I just want to transfer my music onto it. I have never owned an iPod or iPhone before so maybe there is a step I'm missing... Does anyone have any advice?

Thanks in advance!