Can not download photos to my PC from iPhone

Hi

When i try to download photos from my iphone 4 to my pc, the pc tells me that "There were no new pictures or videos found on the device"

The only think i can think is that the photos are locked in . On the top right hand side of my phone there is a picture of a lock with an arrow running clockwise around it. i have  been to Setting and can see anything there to change.

Thanks!