If you have Autoplay enabled, you should get a pop up asking what it is you want to do.
If you get no popup, open My Computer (XP) or Computer(7) and see if you device is listed.
If it is, Right Click it and choose "import pictures and videos"
If it is not listed under Computer, take a look at this article. http://support.apple.com/kb/ts1538
Let us know how you get on.
Did you know there is a forum here on CNET that deals exclusively with iPhone/iPod/iPad questions.
Check it out for next time:
I have the right cable but nothing happens. Do I have to be in I photo on my PC? Which I currently don't have.