Getting your PC files onto the Mac is only half the battle. Now you have to figure out where they go on the Mac.
Here’s the short answer: Everything goes into your Mac’s Home folder. (Choose Go→Home, or click the icon in your Sidebar.)
Some of the more specific “where to put it” answers are pretty obvious:
My Documents. Put the files and folders from the PC’s My Documents folder into your Home→Documents folder. Here’s where you should keep all your Microsoft Office files, PDF files, and other day-to-day masterpieces.
My Music. Your Windows My Music folder was designed to hold all your MP3 files, AIFF files, WAV files, and other music. As you could probably guess, you should copy these files into your Mac’s Home→Music folder.
After that, you can import the music directly into iTunes. If you used iTunes on your PC, for example, see the steps on iTunes Music for specific transfer instructions.
If you used some other music program on your PC (like Windows Media Player or MusicMatch), things are a little different. On your Mac, choose iTunes→Import, and navigate to the folder that contains all your music. (In either case, click Choose in the resulting dialog box.)
My Pictures. Windows also offers a My Pictures folder, which is where your digital camera photos probably wound up. OS X has a similar folder: the Home→Pictures folder.
Here again, after copying your photos ...