Most phone companies (Vodafone, O2, etc etc) want you to spend money so have asked manufacturers to switch off the ability to do it by Bluetooth, cable, infra-red. You have to email them using Multi-Media Messaging Service (MMS) to yourself. Consult your provider to find out the maximum bytes you can transfer for the standard charge.
Some mobiles have a memory card inside (not the SIM card). This can be taken out and read directly by a card reader on a PC. Multi-card readers are available from most PC shops for about �20
Apparently you can get a data cable to attach your phone to the PC USB port. Using this, together with the appropriate software (often sold with the cable), you can transfer your files, change settings and add games etc.
This method is also used to unlock phones (using the appropriate unlocking solution).