You download them though the AT&T AppCenter. You can find this located in your menu. Ringtones usually cost anywhere from .99 to $3 depending upon the tone. Instructions on how to download them can be found in the AppCenter when you buy one.
Keep in mind using the AppCenter does require you to have a data plan on the device, or you will be charged Pay Per Use data charges for the use of the store. Additonally if you have a data block or purchase blocker on your line, you will be unable to use the AppCnter.
Hope this helps!
*I am an AT&T employee and the postings on this site are my own and don't necessarily represent AT&T's position, strategies or opinions.