If you don't have iPhoto, or just prefer to grab your photos manually, select the Browse Device option and you should see a list of all the media you can transfer from the phone. From here you can drag and drop files onto your desktop or into another folder.
Finally, if none of this is working for you, you can always bypass the software altogether and e-mail the file right from the phone. It's tedious, but it'll work.
For a video version of this tutorial, head over to CNET TV.