The phone may have come with a USB cable and a CD with a Windows compatible connection program. If not (like it's a cheaper Nokia) you may have to buy a USB cable separately and download the program from their website.
It's feasible that your camera doesn't allow such downloads -- they just want you to spend money sending pictures to your friends' phones. In that case one of your friends should be able to download the shots and send them to you by e-mail.
Thanks for your answer was very useful.