How to download so
How to download songs and movies something like this
If you want films and music to go into the Videos and Music apps, then directly on the iPad you can only get them via the iTunes store app. You can buy music from other sites on your computer and add them to your computer's iTunes via File > Add To Library, or you can copy your own CDs via your computer's iTunes, and you can then sync them to the iPad's Music app : syncing music.
Depending upon what country that are you in you might also have access to film subscription apps such as Netflix.