WP7 does not support custom ring tones... yet
For a listing of compatible SD cards for the Focus just check out
THIS THREAD.
In the Zune software go under "settings" and select a folder that you want all your music/videos/pictures synced to. Put the pictures you want to sync into your selected sync folder. Let the wonders of auto sync work it's magic.
If you want to sync contacts your best bet is to sync them with the hotmail account you used when setting up your phone. Make sure to login into your hotmail account on a computer. Click on "windows live" in the upper left and then "devices." Then click on "add a phone."