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They don't download automatically. In some versions of Windows, when you insert any kind of removable drive (flash drive, CD, DVD, etc.) you'll get a dialog asking what you want to do with the contents. I actually find this rather annoying, but in this case it would be helpful, as you could then choose among various possibilities that may include whatever software you have for viewing photos.
Since this has not happened, press Windows Key + E to open Windows Explorer, click Folders on the menu to display the Folders pane, and then click on the drive that represents the flash drive. You should see (depending on your display options) a list or icons or thumbnails of the photos. Try double-clicking on one to see if some sort of viewer opens (for example, if you have a recent version of Office installed and they are JPEGs, they'll probably open in Microsoft Office Picture Manager). If not, right-click on one and choose Open With. You may have some viable options listed; if not, click on Choose Program... and select a likely one from the list in the dialog that opens.
Note that this just permits you to view the photos; they are still on the flash drive. To copy them to your hard drive, you will need to drag them from the flash drive to a suitable folder on your HD.