Hold on a second. This might be a stupid question, but are you trying to copy the data while you're in the game? You do know that you have to transfer the saves in the dashboard, right?
Okay, if you want to connect your Xbox controller to your PC, you need to do two things: make or buy an adapter, and download a driver for it. The Xbox controller is really a USB device, but the connector isn't the same shape. If you cut and splice the wires for the breakaway cable and a USB cable, you can make it fit a USB port on your PC. The colors are even the same. Here's how:
http://www.rc55.com/xboxpad.php
There are several different drivers hobbyists have written that you can use to get it working on your PC, but the one I recommend is XBCD (XBox Controller Driver) from somebody who goes by the name of RedCl0ud:
http://phaseone.sytes.net or
http://www.redcl0ud.com He also has drivers for the remote control (in the DVD playback kit), the Live headset, and the Music Mixer microphone. Warning: he also has a driver for the memory card, but it is NOT for transferring saves to the Xbox. Rather, it's a driver for using the memory card as a USB key to store data. If you install RedCl0ud's driver for the memory card, it will reformat the card in a way that makes it incompatable with the Xbox, so don't use it unless you want to use one of your memory cards as a USB key for your PC.
After you have the controller connected to your PC and the driver for it installed, insert the memory card in it and install the Action Replay drivers available at
http://us.codejunkies.com under "support." Then, using the Action Replay interface, you can backup your saves.