First, ensure that you have in fact taken photos. Press the Shutter/OK button a few times to take some sample photos and then try downloading them again. It is also recommended that you have an SD card inserted in the camera.

Secondly, always use the USB cable that came together in the package with the camera. The USB cable needs to be inserted in a free USB slot on your computer.

Thirdly, give your computer time to recognize that the device is inserted. If need be, refresh the device options list until you see the removable device appearing.
If the computer does not recognize your device it may mean that your computer does not meet the minimum system requirements.

Please see the System Requirements section of this manual. If your computer does not matches these requirements then it is possible that you will not be able to transfer the photos and videos from your camera.