Well, when the wizard first opens up you're given a choice on how you want it deal with the situation. If you've chosen to automatically download pictures, then that's what it's doing. You may not have chosen this option, maybe it's just confused.
I don't know how to access it to change the behavior. You get similar choices when inserting a CD. You can go into My Computer and right click the drive and reset the choices.
Maybe with the camera attached, you can access these choices from within My
Computer?
Edit: Didn't even read lilcam's post. The same thing said in far less words.