Bluetooth them.
Use ES File Explorer and LAN connect them.
Look for an FTP client in Marketplace and set up an FTP server (using FileZilla) on your PC.
Set up a web server on your PC, offer the files up through a web page and browse to the PC with your web browser on the Desire.
Or do you mean that you do not have a microSD card in your Desire ?
Then you cannot really transfer files. Nowhere to store them.
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