Sony ICD-ST25 question

[Juliasmama]

My boyfriend "borrowed" his dad's IC Recorder ICD-ST25 and we were planning on recording his music and then transferring it on to the computer. I plugged the recorder into the USB cable and plugged that into the computer, right away the recorder screen says " PC LINK" and that connecting noise is coming out of the computers speakers but nothing else is happening. There is no removable hardware icon showing up in My Computer and I don't understand why I can't access this recorder. I d/l the digital voice player for the recorder and still nothing is happening. Is there something wrong with the cable or am I forgetting something?