I just installed LR2 onto my XP machine, but when I try clicking Import and then my camera, there is a message stating that there aren't any photos to import. I realize I could use a card reader, but I'd really like to just hook up my camera to the computer to have it read the images directly.
This usually means the camera is in the wrong USB communication mode or you have a driver installed on your computer that is interfering. Go to the Setup->communication menu item and set it to PC connection (I believe). This selects mass storage mode as the communication mode. The 5D should transfer its RAW files just fine in this mode. It is a good idea to use a card reader, but it should not be necessary. I often connect directly to my camera out in the field.
The card reader is not only MUCH faster, but will save you from the high probability of something (like your elbow, or your cat, or your child) accidentally getting snagged in the cable and pulling your camera to the floor. If you go to some forums you will see that this 'accident' is quite common. A decent card reader is about $25, and worth it just to keep the camera safe.