Yep, I agree the Olympus software sucks! You don't mention which version of Windows you're using. If you have XP then just about all your problems are easy to resolve - Simply use the XP camera wizard, end of story, it's a breeze to use, you can select where about on the PC you store your images.
(For XP) If you click on 'my computer' whilst the camera is connected you'll see a disk icon with the label ' removable disk' right click on this disk (assuming it's your camera) and select properties, then click on the auto play tab. At this point your presented with a drop down box that should say 'music', change this to 'pictures' and then move to the 'select an action to perform' option then left mouse click on the circle, then click on 'copy pictures to a folder on my computer using Microsoft Scanner & Camera Wizard' - Click apply then okay.
Next time you connect your camera the Microsoft camera wizard will take over the downloading of your images from the camera rather than the appalling Oly software - Trust me, your better off totally removing the Olympus software full stop, even printing an image is a total joke using it, forcing you to pay for an upgrade to gain further and better options!!
If you don't have XP then it's a worth well purchase, if not then using the find function within Windows locate a folder called 'camedia', open this folder and look for another folder within, called 'store'. Within this folder you should find your images under date order or similar. I'm not 100% sure on this point as I removed the Olympus software over twelve months ago and haven't looked back since.
The real sting in the tail with the Olympus software is that if your camera is firmware upgradeable, your forced to use it - Which is about it's only practical use in my opinion.
Hope this helps?
Regards
Heather