Wow , relax bro!!! Lol
Just use itunes , simple. Its free on apple.com
Obviously ufone is slow , there are no 3G networks in Pakistan. GPRS is slow as hell.
Of course you can download songs directly to your phone (and applications as well) , just get an itunes store account.
Is your phone jailbroken or factory unlocked? If jailbroken DO NOT update your iphone from itunes if prompted , it will get locked. Wait till a jailbreak comes out for that particular firmware.