The iPad's native iTunes app can directly download music and videos to your iPad using, usually, WiFi. Only videos and music under 20MB can be downloaded using 3G - an Apple-imposed limit.
Movies that you've downloaded from iTunes are put into the iPad's native 'Video' app and music is put into the iPad's 'iPod' app.
I hope this is what you were asking - please forgive me if I misunderstood your question.
Have fun and enjoy your iPad.
Tim
Scotland