I'm assuming an iphone will work in the same way as my Nokia when copying files across etc.
This is how it works for me with my nokia and PC - I'm assuming it'll be similar for your iphone and mac.
Connect the iphone to your mac with the lead provided. Open up the contents of the phone and brouse for the file that you're looking for. When you've found it, drag and drop it to a suitable location on your mac (I've never really used a mac, so I'm assuming it works in a similar way to my PC).