The best way to download pictures from your camera to your computer involves removing the memory card from the camera and plugging it into a card reader (either built-in to the computer or connected via USB or FireWire). This is likely to be faster than connecting the camera to the computer, and won't run down your camera's batteries.
Once the card is plugged in, it will appear to your computer as a removable drive. You can use the operating system's drag&drop facility to copy pictures from the card to the computer's hard drive, the same way you copy any other files. Or you can use any photo management program such as Picasa ( http://picasa.google.com ).
Here are some troubleshooting steps that you can try that may correct your problem. If the camera is out of warranty (or repair cost approaches that of the camera), they're worth a try. Some of the later steps do involve some risk to the camera, so carefully weigh your options before deciding to conduct them: http://camerarepair.blogspot.com/2007/12/fixing-lens-error-on-digital-camera.html And here's a video summary of the steps:
There are several possible causes for "memory card locked", "memory card error", or "no memory card". The most common cause is having the tiny slide switch on the side of the card in the wrong position. The second most common is trying to use a 4GB or higher SDHC card with an older camera made before SDHC format came out. There are also other common causes if the above didn't help. Troubleshooting steps for this problem may be viewed here.