I was able to do this using my USB cable with the canon EOS utility on my laptop (vista) and my desktop (winxp). Basically you would open the EOS Utility and click the 'remote shooting' button. This will replace the current window with a new one, with a bunch of camera settings listed in it.
When you start taking pictures they will 'pop up' on your screen, allowing you to quickly review your shots.
For me, although its a cool feature, its never something I have really been able to use unless I was somehow taking a very specific macro shot *in my apartment* and could keep my laptop next to me. If they made laptops that don't go into standy when you close the lid, it could be better, because you could simply throw the laptop into your backpack and walk around with it.
USB cables are pretty limited in size, as I recall reading a while back that they lose connectivity after a couple meters.
In other words, if you want to get super fancy like your favorite photographers from america's next top model, you'll have to have an expensive camera, (at least a 40/50d) and the added accessory that wires them over for you. But no matter how pricey your camera if, you probably wont end up hanging out with tyra anytime soon 