Transferring vis USB is not recommended because the quality won't be as good, but you can do it via USB with the right driver and software.
Here is a link to the instruction manual. This is direct link to a Sony PDF file so don't click on it unless you want it.

Starting on pg 94 are complete instructions for what you want to do. The gist is, you need to dwonload and install the USB driver before you hook up and turn on the camera. If you don't follow the proper procedure, you must go back and undo what you've done and start over.

The USB driver can be downloaded for free from Sony. The image capture software is not free. You didn't tell your OS, is it XP? XP comes with Windows Movie Maker. I don't know if it will capture from USB or not, as I've never used it. But if it won't, you may be able to use Goggle to find a free download that will.