You should specify where you would like Master to place images that it transfers from the camera. To do this open the Options window (File/options) and browse to your desired folder. Also tick the checkbox "Automatically transfer images to..."
Any image taken by the camera will be transfered back and placed into this folder.
If you do not specify a folder, or leave the checkbox unchecked, Master will leave the images on the camera. These images will be lost once the camera is switched off.