You don't have to download anything new unless you want to. The software that came with the player is just fine. Throw some tunes on it, install it in your car, and enjoy.

If you want lots of technical details of different things to do, go to the FAQ here.

You can't replace the visuals at the current time.

A few of the background images used in some of the visuals can be replaced, but don't try that right away. Wait a while and learn the other things you can do with the player first.