How do I shoot photos from my dSLR to my laptop directly?

Here you go.

Eambos got it right!
However, I am unaware of what program they speak of, coming with the Nikon. All I got with my two d300’s was Capture NX, and some documentation. So, unless Capture NX can do that without my knowledge (which is totally possible. It happens all the time.)
I bought Camera Control Pro 2 to do that, It lets me control my camera right from my computer.

The other option: If your camera has an HDMI output and you have a mac, you can connect it to the mac via the HDMI, and you get the same effect.

I worked in a portrait studio (like a legit one, not like Sears), and the photographer didn’t use a program because of the distance he was from his computer (he would shoot on location without a whole setup), but when he did use a program, he also used Camera Control Pro and liked it, as far as I know.

The other option I have seen people use is a WiFi 10-pin plugin for their camera. They hack the firmware and add a few lines of coding that sends the images through the WiFi adapter, then to their computer, but the problem with that method is three-fold:
You hack you camera, voiding it’s warranty;
You run out of battery really quickly and;
You can not save to a memory card, unless you “un-hack” your camera.

I know that sounds like it is not worth the trouble, but I know a few stock photographers who only do macro shots for magazines and things, so they never have to take the camera more then 2 feet from their table they do all the photography on, and they have the camera on AC power the whole time, making it a great set-up. (One guy I used to know had the images pass from his camera, directly to his Mac, then into an Automation that copied the photos to an external, converted them to JPEG, then did a defined cropping, and image adjustment. He was one of those photographers that believed there was only one good way a photo should look, so every photo he took, looked exactly the same… and still he got the damn job over me! Anger!