Well it depends on the phone.
Some of them you have to ring an 0900 number and enter a code that matchs each ring tone, and its downloaded into the phone, but they are DAMN expensive.
Or get the instructions for your phone and find out how to program in new ring tones. Then you just enter in the numbers and symbols into your phone in the order shown.
good luck, but I should warn you, most sound really really stupid.