Your photos (music, etc.) should be stored on your SD card. When you link your Droid X to your laptop, as mine is right now, the card is seen on the laptop as a "Removable Disk". If you open your computer, you should see Drive C, and a Removable Disk. This is fine, as you can drag and drop your photos, or just about anything else from your Droid to you laptop, and visa versa. However, be careful. If you are using Windows, make sure that you do a safe unlinking. In other words, don't just remove the usb cable from the computer. If you do, you will mess up your SD card. You'll have to check your computer manual on how to do this. On mine, I go to the bottom right and click on the icon that looks like a usb connector. Then click on the item that comes up. It will then tell you that it's safe to remove the usb cable.
Your Droid X should have come with a pre-installed SD card. To find out if you have one, take out the battery and the card should be on the lower left as you are looking at the back with the camera on top. If you don't have one, raise a fuss, because as I said, they come pre-installed. Unless, of course, when you got your box and put everything together, you accidently threw it out. Mine came with the card already installed. Good luck.
Just a thoght, but you might have to format it. Directions on how to do that should be on your phone. Have you taken any photos or videos? Have you downloaded any music? If so, they should be on the SD. Another idea, take the card out and then put it back in. Good luck. I know when I hook the Droid to my laptop it recognizes the SD as a removable disk. Which brings another thought in mind. Do you have any task killers? If so, make it ignore the USB. Go to your task killer and open it. Click on menu and on settings go to ignore list. Do you see thye USB? if not, go back to the task killer, to usb, hold on it until a menu pops up and click on ignore. Your computer should now "see" the Droid via the USB cable connection.
You may also transfer photos using the Media Share option on your phone. The steps are below. Hope this helps!
In some instances, an active WiFi connection must be established to share media.