Mainly, you do have two options getting your own ringtone: either you're creating one yourself with some editor (e.g. MIDI files etc.) or you can download rintones from websites.
If you decide to download ringtones, again, there are a few options. In most cases ringtones are downloaded via WAP connection, which means an internet connection has to be enabled with your mobile. A given link will then start the download directly to your cell phone. Sometimes those links are sent to you via SMS. You enter your phone number and a SMS is sent to you including the WAP link.
Another possibility is to download music (or wallpapers, etc.) directly to your PC and transfer it manually to your cell phone. If supported by your mobile this can be done via radio, e.g. bluetooth, infrared. You might also buy a cable (USB) for your mobile to transfer music.
An important point to mention here is the fact, that different mobile phones support different ringtone formats. New phones support MP3 and other real music formats while others (only supporting polyphonic tones for example) only allow to play certain file formats. Ringtone formats can be different from phone to phone, so make sure, your mobile supports the kind of ringtone you want to download before doing so.