Unfortunately most camera manufacturers do not include SDHC cards with their cameras and a lot of people don't realise this. 9.59MB is the camera's onboard memory. That is just enough to store one picture. That is all you get included with the camera! You will need to buy an SDHC card for it, preferably a fast class 10.
Go for a Sandisk 16GB Extreme or Ultra card from Amazon - something like this:
http://www.amazon.co.uk/SanDisk-16GB-45MB-Extreme-SDHC/dp/B00422J0CG/ref=sr_1_1?ie=UTF8&qid=1373357512&sr=8-1&keywords=sandisk+sdhc+16gb+extreme
The class 10 cards are fastest. You need class 6 or 10 for video. It may as well be the faster class 10 as there isn't much between class 6 and 10 in cost.
That card is about 16,000MB, so it should hold over 1000 pictures or quite a lot of video. Don't bother with a 4GB or 8GB card - those are nearly as expensive and the 16GB one will leave you with plenty of space for video as well as pictures. You will need to format it in the camera before using it.
Do NOT buy SDHC cards from the high street - they will be far more expensive there. I strongly recommend sticking to good brands like Sandisk. Cheap cards are not always reliable.
Don't connect the camera directly to the PC. Get a cheap USB card reader like this:
http://www.amazon.co.uk/Genuine-Integral-Card-Reader-SDHC/dp/B007JCP89K/ref=sr_1_2?s=computers&ie=UTF8&qid=1373357688&sr=1-2&keywords=sdhc+card+reader+usb
That is far more convenient for transferring your pictures.