I thought the new iPhones running iOS 5 you didn't even have to plug them into iTunes.
If you're still having issues wipe it all and start again.
You dont have too. Can be done through wifi although i prefer to just plug it in.
Agree if your stuck wipe it and start again it really isnt hard I came from an old sony ericson and managed fine. Cant even remember setting it up tbh it all sort of does it itself lol.