You will need to delve into your phone settings and select the USB method to 'Mass Storage' from there after you plug it into the computer it will come up with pretty much every file or folder on the phone - Photos and Videos usually won't be labelled as that, they will be labelled with some short acronym I totally forget the name of, begins with D I believe.
Either that, or delve in to app settings or find an app that is specifically designed for transferring files from a phone.