what kind of media do you want to change??
when your phone is plugged in to itunes, click on the device you're talking about,
and at the top of that summary page there is proabbly 5 or 6 tabs for your phone. one of the tabs will say music. you can choose what settings you'd like.
if you're looking for something where you just drag whatever media you want from your library to your phone, you should go back to the main page of your device (the summary tab at the top of that page) and scroll all the way to the bottom and check the box that says manually manage music.