I only have them on a Blackberry think I'm sol...they don't show up on the desktop. Good old Blackberry.
You can mount your Berry as HDD and copy over to your PC. Your computer should be able to notice the Berry when you plug it in to your computer as a usb device but if it doesnt (It has been over a year and a half since I've used one) but I believe on your Blackberry you need to go to Options --> Media Card and enable Mass Storage.
If this menu option is not available try Options --> Advanced Options --> Media Card and switch Mass Storage Support to On
Then plug in your Blackberry to your PC