First, I’m a newbie to the Mac world.
Second, this how-to, actually, is not worth of a mention, ‘coz it’s really too simple to be put here. But I’d still like to share it with those of iphoners who are still unaware of this ‘trick’.
Okay, so here’s the how-to.

Picture says all, you got that?
Yes. iPhone will be recognized as a digital camera by Windows after connected via USB.
And then when you double click the ‘Apple iPhone’ icon, you will see a full list of all the photos on your iphone taken by the camera and not capable of being synced by iTunes. Then you can select all and copy them to your local folders wherever you choose.
Update(Jun 4th, 2008): If you didn’t get what you want, which means you wanna copy non-camera-rool-photos to your computer, currently you have two options regarding of my knowledge: 1. commercial software, like Tansee iPhone Transfer Photo ; 2. free one, iThmbConv.exe. As you can see the tool is for iPod from the start, not for iphone, so you may need some additional steps to get the correct-sized photos, esp. when the size of your iphone photo is not the same as iPod’s default size.