You might have tried some internet searching before asking here...there are sites with information. One in particular has a "how-to" for you. Check the second post down for information and software suggestions:
http://askville.amazon.com/advise-tr...uestId=8982004
Also, read your manual. If you don't have one, go to Sony's site and DOWNLOAD one. It has directions. The forum post I mentioned has a link to the manual.
You can connect the Firewire output from your camera to a Firewire input on a computer. This will even allow the computer to remote control the camera! If you don't have a Firewire input, you'll need to add a card. That's about the only way to make a digital transfer. You MUST - I repeat, MUST - go Firewire to Firewire, not Firewire out to USB in on the computer. I tried it with my Sony camcorder and it does NOT work. Unfortunately, Firewire cables are expensive.
Analog transfer would be lower video quality and might actually be more expensive, since you'd first need Sony's adapter cable to output from the camcorder in analog, and if you don't have an audio/video input card you'd need to add one to your computer. I suspect (haven't checked prices) that an A/V card would cost more than a Firewire card.