I assume that you're connecting the camera to your computer with a USB cable.
If your computer has recognised the camera as an external storage device (but simply failed to offer you the options of what to do with your pictures), go to Start > Computer and you'll see the camera listed as a drive there. Double-click on that drive to view its contents. (You'll probably need to double-click once or twice more, on the folders that appear, to actually get to your image files). Then you can drag-&-drop (or copy-&-paste) those files to your chosen location, just as with any other movement of files within Windows.
If your camera isn't recognised as an external drive at all (i.e. it's simply not there when you go to Start > Computer) try following these steps:
http://support-sg.canon-asia.com/contents/SG/EN/8200757200.html
(That's from the Canon website but it's just the same for an Olympus camera. I used that link because it's particularly well explained).
Better still, stop connecting your camera to your computer with a USB cable anyway! It often throws up problems and I never do it. Simply remove the xD card from your camera and plug it into your computer's built-in card reader (or a USB one).