The Zune software should default to save pictures to the Pictures folder of your user account in a "From (your phone name)" folder when syncing. You may be able to click on the picture from the phone and drag it to your collection manually.
I tried clicking and dragging to the Collection....nothing shows up in th Picture folder there. I loaded Windows Live Photo Gallery from Vista. It recognizes the phone, but when I click on Import I get error message "The parameter is incorrect."
sync with zune (and setup wifi auto sync) and the photos will be automatically downloaded to the PC for use with any windows application
It sounds like a miscommunication issue between your phone and your pc; this usually happens when a device manager conflicts exist due to outdated drivers and or software. Please visit this LINK for troubleshooting options and to update your Zune software.
I trust that resolving any device manager conflicts and ensuring the latest Zune version is installed in your computer will resolve your concerns. Keep us posted.