My phone is Ideos running Android 2.2 (Froyo). My laptop has Windows Vista. I have the latest Android SDK installed.
I quote Hello Android because I can't say it better ;-)
You need to enable USB debugging on the phone itself (by starting the Settings application and selecting Applications > Development > USB Debugging), install the Android USB device driver if you haven’t already (Windows only), and then plug the phone into your computer using the USB cable that came with the phone.
Close the emulator window if it’s already open. As long as the phone is plugged in, Eclipse will load and run applications on the phone instead. You need to right-click the project and select Run As > Android Application.