Well, wonder no more! What you're looking at on the right is what you'll see on the EVO's screen when you first plug the phone into your computer. When the EVO is connected, it can charge its battery without doing anything else, sync your contacts and calendar information, mount as a disk drive, or act as a modem to allow your PC to connect to the internet.
You can change the connection type at any time (tap the corresponding notification that appears when the phone is connected), but if you know that you will almost always want a particular one, then tap the "Don't ask again" box at the bottom to set your selection as the default setting.
When you want to change the default type, go to Settings -> Connect to PC -> Default connection type and make your selection from the list that appears. You can also choose whether or not you want the system to ask you what you want to do whenever you connect the EVO to your computer.
And that's how the HTC EVO 4G connects to a computer.