Hi
I beleive you have the 8110 not the 8120. The 8120 does not come in black and does not have GPS. It has wifi which the 8110 does not have.
The reason you don't have the mail set up option on your device is because you don't have a Blackberry Data plan, this is needed to activate those settings.
This link will help you out with what you can do with a generic data plan.
BlackBerry Search Results
To install applications from your PC you probably need pocketmac which is available from Blackberry.com.. I am not a mac user so hopefully someone else can advise you here.
You can use your GPS with Blackberry maps or google maps both of which are free. You can of course pay for a service if you wish.