You should be able to plug your Desire in to your computer and it will appear like an external harddrive. You just have to navigate to the folder on the phone with the music and copy it to your PC. MP3s won't have any DRM so you can do what you like with them.
However, if you spend that much on music you might be better off with a subscription service. You can get Zune Pass for £90 for a year. You get unlimited music to stream and download to the phone, PC and xbox. Other alternatives include spotify.