Here is a screenshot of where to go in itunes to copy files to your device.
Thanks, I didn't realise I have to actually connect the device through a PC. Android is a lot more user friendly, so I can just download to device.
I have managed to get the URL to work. I actually had to link it to a server, rather than DropBox, which is a shame, but at least I can see it now, and it runs great!