Yes, but you still haven't said what camera you have.
It is possible with Nikons, but being a Canon person, I can't think of the name of the app.
With Canons, EOS Capture (which comes on the install CD with the body) and a USB cable will allow you to do this. It's a really useful app.
I use it a lot when doing portraits so i can check focus etc as the screen is too small on the 400D to make sure.
The Nikon program is Nikon Capture NX, although if you're just wanting to view them (not use the PC to actually control the camera) then you can use anything with a regular RCA video-in---a TV, a PC with a TV card, a little portable DVD player, etc.
So for a Nikon you need capture NX for instantly viewing photos?
For shooting tethered to a PC, yeah.