If your phone hasn't been set up properly, then you won't be able to download a tone until it has.
Your first source of help should be your phones manual.
If it doesn't have a section on setting up WAP, or mobile internet, or you simply don't understand what it's saying, then contact your network providers help line.
Don't hesitate to seek help. Your network provider offers help services to enable you to use more of their services.
They are there to help you, because most people don't understand how to set up phones.