Finding and installing apps and games via your phone requires you to have a connection to the Internet, through which you will be able to access the Marketplace Hub.
This is split into three (perhaps four, depending on your mobile phone manufacturer) sections:
Tapping each of these takes you to the relevant screen where the most recent releases are listed. Applications and games usually have a trial mode, while music generally comes with a short preview of the track you’re interested in to listen to before you purchase.
Downloading apps, games and music requires you to find the item you’re interested in, checking the reviews for the item (always important to find out whether it is worth downloading or not) and then clicking the Buy or Download button. Using your Windows Live account the Marketplace will charge you for any paid apps, games or music that you are downloading, so make sure you have a debit or credit card attached to this as mentioned above.
Your download should begin, with the app coming to your phone via the mobile Internet or your local wireless connection. Note that games typically require a Wi-Fi connection for downloading as they tend to be bigger files.