flynverted
XP is usually a million times better when transferring pictures, I am unsure of how you are trying to do this, but here are my best suggestions.
1. Follow Mac's instructions as if you get a CF card reader when you plug the Cf card in the reader it will give you wizard which you can follow to tranfers the pictures.
2. Double click My Computer - find Camera Icon double click then double click the folder which will hold the pictures (from memory named something like 100k... or similar) when you see your pictures do CTRL + A on the keyboard which will select the pictures now CTRL + C to copy then navigate to another folder where you can paste the pictures into.
I would always go with 1 above as XP has some cool tools that you can mass rename etc, worth visiting the powertoys site at microsoft where you can get various tools I find invaluable like the picture resizer.