Hi there

, and welcome to Pchf.
There's
3 ways really,
1) USB connection from Pc to Phone.
2) Infrared connection from PC to Phone.
3) Bluetooth connection from PC to Phone.
Option 1, I know here in the uk quite often with phones you get a usb cable free which connects to the pc.
Option 2 :If your phone only support's Infrared and your pc has it, you can do this option.
Option 3, most phone's now use Bluetooth, if your's has Bluetooth, you can buy a Bluetooth dongle for as cheap as £5.99 which is around $12 I think.
Hope I've helped
What Cellphone have you got by the way?.