As Stravides says, just make sure you set it to "sync" mode when connecting the USB cable.
I've had mine for a few weeks now and absolutely LOVE it.
For info, I use a piece of software called 'Media Monkey' to manage my music collection (like iTunes but without the need to sacrifice a small goat at the doorstep of Apple), and it recognises my Desire when I connect it as a disk drive (external media, I can't remember the exact phrase).
It allows me to drag and drop music, plus also playlists and to "auto-sync" with the Desire.
I don't tend to sync things like contacts and appointments -I prefer to keep them separate, plus the Desire can use my Google account (and it's calendar and e-mail stuff) so everythings the same whether I use a work PC, laptop, desktop or my smartphone.
Cheers
Alan