What kind of computer do you use? If you're using a Windows XP machine or a relatively recent Mac model, you can just insert the decive into a USB (I assume) port and your computer will automatically do the rest. For XP you can access it from the "My Computer" screen and on a Mac, an icon should appear on your desktop.
Because the device is USB (again I assume it's a USB because I haven't encountered otherwise), you should not encounter any problems "shorting" it when inserting into your computer when it is turned on. Just make sure when you remove it, you first right-click the icon of the device and select "un-plug" or "disconnect" or something like that so you don't interupt a data transfer.
Older versions of Windows require driver software sometimes installed on the computer, sometimes given on a cd when you bought it, or in rare occasions a download would be required.
Sorry if this was confusing , if you have further questions, you can post them here, or consult the above mentioned forum.