This may be old news to some, but I have not seen this response to the question.  

When I connect the USB cable to my iPhone4 from my XP PC, in addition to iTunes coming up, the Scanner and Camera Wizard also pops up.  I had always canceled it before, but when I opened it, the wizard displayed all of the pictures in the camera roll folder on my iPhone. It’s a little cumbersome if you have photos that you want to transfer to different folders on your PC…select the photos to go to folder-x and transfer them; then click on BACK and select the photos to go to folder-y, etc.  Before transferring, there is a check a box option if you want to delete them from your phone.  If the wizard doesn’t come up when you connect, you can find it under Start–>All Programs –> Accessories