I pop out the SD card and put into desktop's built in card reader. I use the drop and drag method. I always click "eject" before taking the card out to keep it from corrupting. This is very important in Vista or you will get the annoying pop up that it needs to scan the card for problems every time you put the card in and the only way to fix it is to use the chkdsk command.
I only use MOBI/PRC format though which makes it easy to move books to another folder and not lose your books settings because a secondary file with the same name is created along with the book. So you just move that file with the book to keep your settings. you can even rename the book's filename and as long as you rename secondary file to match it will keep it settings.
I love that I have total control on how my books are organized!
I don't want Vista anywhere near my Pocket Pro. I don't trust Vista so I'll never hook the unit directly to the PC.
I keep my firmware on a separate SD card just in case but haven't needed it yet.