First be sure to have installed ImageMixer software that came with the camera. If you can't find the disc go here... http://esupport.sony.com/US/perl/swu-list.pl?mdl=DCRSR40&LOC=3
then select your operating system and then select imagemixer to download.
Place camera onto docking station, connect usb cable to computer, open camera door, turn on camera. Imagemixer should open automatically, if not open up imagemixer.
Transfer to Computer:
Select "Viewing and Editing", then select "handycam" tap, click on "▼" (arrow) facing down, then click "movies". Place a check mark on each movie you wish to move to the computer then click "Options" tab (lower left corner) and see where the movies will end up once you click "Import to computer".
Burn to DVD:
Be sure you have a DVD drive that can write to DVD's. Will have DVD R/RW on the face of the drive. Place a blank DVD into drive. Follow Step 1. Then click "One Touch DVD Burn" from the imagemixer menu. Follow any instructions on screen.
Or you can choose to use Windows Explorer and select the drive letter that is your camera's harddrive and move/copy/cut/paste files directly from this location to another.