The MG21 is a hard drive based camcorder... you already know this (others reading this may not). When you connect you computer and camera together via the USB ports and cable,
Can you see this "USB Mass storage" item under "My Computer"?
When you open that "USB Mass Storage" item (under "My Computer"), what is in there? The stills on the memory card? Are you in SD (memory card) mode or HDD (hard drive) media mode?
When transferring, the camera is a "passive device" - that is, it needs to be on - and most likely plugged into the wall power.
As with any USB mass storage device, there isn't always a message displayed by the Operating System when the device is connected/recognized. Sometimes there is, not always.
Or, after doing all this, does it not appear under "My Computer"?