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Without knowing your particular device (as it wasn't mentioned in the original post), I can only give generic directions.
1. Find a USB cable that can connect your phone to your PC
2. Most newer PC OS will auto detect your phone as a drive; if not, you might have to install the particular drivers and/or turn on the mass storage option (it should pop up on your device's screen)
3. At this point, you should navigate to the area on your phone that contains the videos (if internal SD card, then it would be SD card - DCIM.)
4. Drag them from that folder onto your desktop. Voila!
If you have any other questions, feel free to register and we can provide more specific information for your particular device.