The Lion USB drive you bought works to upgrade a Mac with Snow Leopard (10.6) or you can of course use it to install Lion onto a bare (erased) drive.
Most people will make a back up (using the bootable USB drive to run Disk Utility) to an external drive or alternately - install Lion onto an external drive.
At that point you can hand migrate things or see if the Migration Assistant will help to move your documents and the Apps that are compatible with Lion to the new OS.
Since you just bought an Apple product, you get 90 days of phone support - so you can call AppleCare for help step by step if you prefer. The only catch would be if your Mac doesn't meet the minimum requirements for Lion in which case you might take it back and return it if you don't want to spend money on whatever needs updating to run Lion.