When you a take a picture on your iPhone it will go to the camera roll. Then when you hook up the iPhone to iTunes, a window will pop asking if you want to import the pictures. You'll then have the option to take them off the iPhone and save them to your photo's folder.
When you are in iTunes, a connected iPhone shows up under "Devices" in the left hand margin menu. Click on the device shown once to bring up the syncing menu which has several tabs (Info, Apps, Music, TV shows, Movies, etc.). One tab is Photos. Under this tab, you select what photo albums, events (iPhoto- assuming you are on a Mac), etc. you want synced over to the phone. You can do this if you are syncing to iTunes on Windoze too. It's a little different IIRC, but I haven't used a PC in about 2 years so my info might be a little outdated as to how exactly you do it.
As I recall, in Windoze, you open iTunes. Click on the device and you can navigate to the file folder on your PC where your photos are stored to choose what photos you want synced over to your iDevice.