Hello and welcome to the forums - thanks for joining!
When you connect your phone to your computer, it should give you the option to "connect as USB drive" (or something similar)... you need to select that and then your computer should run the auto connect thing (as when you normally connect a USB drive)... if not, click on the start button on your desktop and go to "My Computer" and select the external USB drive from there.
Once you open up the USB drive, there should be a folder called "Media" or "DCIM" or "Photos" (or something similar)... the photos are in there and can be copied/moved across to your computer.
Another way would be to install the
Dropbox app on your phone and the program on your computer and then, from your phone, you can (usually) long press on the photo and select "share" and then share using Dropbox. This would mean that the photos would be available on any of your computers that you put the Dropbox program on instantly (without having to mess around with connecting... as in you could have them available on your computer, even if you are out and about). If you want to go for it with Dropbox, click on the link in my signature, as we both get and extra 250Mb of storage!
You might like to check out
Samsung Galaxy S - Android Forums for tips and tricks from other users on how to get the most out of your phone!
Hope you find this place useful!