I've discovered how to do this. Here's a copy of what I posted on another thread:
I've had exactly the same problem as you. There's nothing wrong with your setup. Don't use Autoplay. Instead, as 7Dreams says, launch Windows Live Photo Gallery. Then, and only then, connect your camera/USB drive.
Choose File> Import from a camera or scanner
Select the required device when a list is displayed (e.g. Removable Disk (H:))
Click on Import
Choose Review, organize, and group items to import
Click on More Options ...
For Import To: click on Browse ... and select (or create) the required folder you want to copy the photos to
For folder Name: select Name
For File name: select Name
In the Import Photos and Videos window, click on Next
Move the Adjust groups slider to divide your photos into separate sessions for each day's filming by reducing the amount of time allotted to each group (I chose 1 hour so I could split up photos filmed at three separate locations in a particular day)
Untick Select all (very important!!!)
Tick the group of photos you want to import
Click on Enter a name, and type the name you want to apply to all the photos, e.g. Central Park
Click on View all X items to see thumbnails of all the photos in the chosen group, and untick any that you don't want to import
Make sure again that you've only got the required group ticked
Click on Import
The photos will then be imported to your chosen folder and will be numbered sequentially, e.g. Central Park 001, Central Park 002, etc.
Just like XP !!!
Trust me - it gets easier with practice!