if your phone has either a mini usb or micro usb port all you need is a program called "bitpim" and the cable. install the program and follow the instructions. i have not used the program in awhile but it had a little bit of a learning curve. navigating to the correct folders took 5-15 minutes to learn and transfer speeds were a little slow.
if your phone supports a memory card its often faster to just get a usb stick which uses micro usb flash cards and transfer the files to the card that way. the benefit of the previous cable way is that you can back up all of your contacts, sms, etcetera easier as well as the photos.
for smart phones:
normally such phones allow you to use your device as a "disk drive". just enable this setting and browse your phone.
for any kind of phone:
you could also SMS or Email photos to your phone. keep in mind this way affects your data service charges.