I\'ve gone through the page Using Hardware Devices. My manifest has
On the phone, go to Settings -> Applications -> Development and make sure USB Debugging is enabled. (This location is from a Nexus One, it may be different on other Android versions)
I'm not sure all phones support this, the Android Dev Phone 1, Android Dev Phone 2, and the Nexus One do.
Once you do this, the phone should appear in the dialog you posted a link to in your comment on Alex's answer.