Welcome to the forum. Here i will throw out some 2 tips about the iPhone 4 for you. Touch the status bar (where you see the time, the battery etc...) to quickly scroll up in whatever app you are in. Say you are in safari browsing till and scrolling down down down, you touch the status bar and UP you are at the top of the page, same to all other apps.
double press the home button to reveal the multitasking bar: there you can touch and hold any apps you see there till they start wiggling, then you will see a red minus sign which you can tap to close your apps.
Scroll to the left in the multi tasking bar and you will see the player control and the screen rotation control, scroll again to the left and you will see the the volume control.
In your iPod player, wipe on any music you do not like to delete it completely from your iPhone. You now do not need to sync your phone to your computer iTunes to delete musics from your iPhone.
See you on the forum and enjoy your stay.