We really do need a sticky on this, or at least a definitive thread, as I've given the answer several times, as I know has jfrancho and others.
Simple answer - use a card reader. You'll see all the .CR2 and .JPG files. You should buy a USB 2.0, Firewire or Cardbus card reader for maximum speed, making sure that if you buy USB 2.0 that you use a USB 2.0 port (which means any hubs between the port used and the computer should be USB 2.0).
Card readers are inexpensive, and well worth having.
I basically don't use my cable any more - well, not for transferring pictures, anyway. If you insist on using the cable, you need to use the Canon software (install from the CD with your camera, then upgrade ZoomBrowser and all the ancilliary bits and pieces to the latest version from the Canon web site).
The only circumstances in which you don't need to use the cable are if you shot RAW only and use Windows XP - in that case, set the camera's communication mode to PTP and you can see the .CR2 file. If you used RAW plus JPEG, you'll see two JPEGs for each image if you do this.
David