From what I can tell you can use SD and SDHC cards (after firmware update).
http://camera-wiki.org/wiki/Fujifilm_FinePix_F40fd/F47fd
To me using a card reader is always more reliable than plugging the camera into the computer, especially with older cameras. Sure it might work now, but an update to Windows could break compatibility. Also a card reader is probably faster.
/shrug