iPhone doesn't have any native way to save or export your SMS messages to a computer. This can be done using third party tools.

Option 1 - Paid software

Use purpose build, commercial software, such as:

• www.iphonesmsexport.info
  
• www.iphonesmsexport.com
  

Instructions can be found on developers websites.

Option 2 - Do it yourself

You can extract messgaes from iPhone iTunes backup. This is what most paid software does anyway. Doing this yourself involves few more steps, but is not too complicated. Here are exact step by step instructions:

Extract SMS messages from iTunes backup:

1. Connect your iPhone to iTunes and perform a backup.
2. Navigate to iPhone backup folder on your PC. Depending on Operating System it can be following locations:
   
   • Windows 7 / Vista: C:\Users\<user name>\AppData\Roaming\Apple Computer\MobileSync\Backup
   • Windows XP: C:\Documents and Settings\<user name>\Application Data\Apple Computer\MobileSync\Backup
   • MAC OS X: User\Library\Application Support\Mobile Sync\Backup
     
3. You will see one of more folder with long ID name, such as d34fde66ba898c63212ef6640ef94073b00a346c. If there is more than one folder, go inside one with the latest Date Modified.
   
4. You fill see large number of files long long ID numbers. Find one with name 3d0d7e5fb2ce288813306e4d4636395e047a3d28 and copy it to your desktop.
   
5. This is where all your SMS messages are saved. File is SQLite3 database. If you open it with a notepad you can actually see all your messages, however they won't be in an easily readable format.

Export messages from SQLite database:

Again, there are two ways of doing this. Both are free this time:

1. Go to www.iphone-sms.com upload your 3d0d7e5fb2ce288813306e4d4636395e047a3d28 file and download exported data in Excel, PDF or HTML format. This is easiest way to get data exported and it is presented in nicely readable format.
   
2. If this doesn't work or you worried about security of uploading your SMS file, you can extract data yourself, although it won't be in such a nice format:
   
   • Download sqlite3.exe. More info and latest versions here.
   • create folder sms on your C: drive, and move sqlite3.exe and 3d0d7e5fb2ce288813306e4d4636395e047a3d28 files there.
   • rename file 3d0d7e5fb2ce288813306e4d4636395e047a3d28 to sms
   • open command prompt and run following commands (one by one):
     cd c:\sms
     sqlite3.exe sms
     .output exported.txt
     select * from message;
     .exit
   • All messages will be exported to exported.txt file.
     

Tested on:
Windows 7 PC
iPhone 5 with iOS 5.1.1

Pictures taken with iPhone's camera are pretty much the only files you can transfer from iPhone to a Windows 7 computer without installing iTunes or any other additional software. Simply connect your iPhone to a PC via USB cable, open My Computer and couple of seconds later Apple iPhone will appear under Portable Devices

To transfer pictures use one of these methods:

• Navigate to Apple iPhone\Internal Storage\DCIM and drag images to a folder on your computer.

• Right click on Apple iPhone,click on Import Pictures and Videos and follow the wizard.

Sometimes, you may find that Apple iPhone\Internal Storage\DCIM folder is empty even when you have plenty of images in your Camera Roll on the iPhone.
And when you try using the second method (Import Pictures and Videos wizard) you get message "No new pictures or videos were found on this device"

This happens when your iPhone is locked. To resolve simply disconnect the USB cable, unlock the iPhone and connect it again.

To share your iPhone's Internet connection with your desktop or laptop via a USB cable you must have iTunes installed on your computer.
Providing this has been completed Internet sharing vis USB cable is a very simple task

iOS 4.3 and later

You can check iOS version in Settings > General > About > Version

• Connect iPhone to the PC via USB cable
• On iPhone: Settings > Personal Hotspot > ON

iOS older than 4.3

• Connect iPhone to the PC via USB cable
• On iPhone: Settings > General > Network > Internet Tethering > ON

To use iPhone's personal hotspot (over Wi-Fi) feature you must have iPhone 4 with iOS version 4.3 or later.
You can check iOS version in Settings > General > About > Version
If your version is lower than 4.3 upgrade it via iTunes.

Enable personal hotspot on iPhone:
Settings > Personal Hotspot > ON
Note Name and Wi-Fi password.

On your laptop open Wireless Network manager and search for a new network with the name displayed on "Personal Hotspot" page.
Connect to the network using password displayed in "Personal Hotspot" page.


iPhone4