The phone has a number of USB modes. The default mode that you see makes the phone inaccessible, but the computer sees "Phone" and "Card" (if you installed an SD card). This works great for applications that like to sync with Music devices (Windows Media Player and others).
If you want to use your phone while it is plugged in, change to the Mass Storage option above or select "ask me every time" and the phone will prompt you.
If you select Mass storage, keep mind of a couple things:
1. When you connect, the phone will see 2 generic removable drives (phone, and sd card if installed)
2. The drives will be give you an insert disk message if you click on them, unless you go to the phone and pull down the notification bar, and choose to mount USB.
3. If you mount your drives so your PC sees them, you can't use them on the Phone, so any app accessing data in these locations will fail.
4. Some apps (in Windows) like to sync with devices in the MPT option, some like to see drive letters - so it depends on the windows app doing the syncing.