Depends on the phone. But I can think of a few ways. Firstly, maybe transfer by infra-red if your phone and computer are equipped with it. Same could be done by Bluetooth if you've got the right bits.
Most phones, however, have a cable which you can purchase as an accessory to connect to your PC.
Final way I can think of is to send them as an MMS or photo message to a non-photo messaging compatible phone. You will then be given an URL and user name and password. You can then get them on the web and save them.