I have a Forerunner 305, but I think the same steps apply…
Plug your 405 into the USB cradle
Turn it on
Start Memory Map
In Memory Map select the top menu option "GPS"
Select "GPS Setup" from the list of options
Set Manufacturer to "Garmin", model to "USB"
Click "OK"
Select the top menu option "GPS" again
Select "Import from GPS" from the list of options
Select what you want to import (probably tracks, but do it all)
All items should now get loaded into memory map.
As an alternative I use GPS Babel to download single tracks, routes, etc, from the garmin device, but using abel is a little bit more complicated, although there is a GUI for it now.
Hopefully that should get you started.
If your using your 405 for training it's worth downloading and getting to grips with SportTracks by Zone Five Software, you can import all your training data and compare it mile-by-mile, day-by-day, etc, etc,, really useful, especially is you use a HRM with your 405.