On many phones you will have to sign into the phone(wake in and enter your pin/password/unlock code). You may also be asked to allow access. You will have to do this as well(if your device is set to charge only you will not see any files on it. Slide down from the top of the screen to change the usb mode while connected to a computer).
Current versions of Android and Windows Phone(I have not played with iPhone is a good while) use MTP(media transfer protocol) to transfer files to the computer instead of the old UMS(USB mass storage). This causes these devices to not have a drive letter, but they will show up under Explorer or My Computer(just Computer on newer versions of Windows).
You can manually copy files from your device to your...