Thanks for posting and welcome.
Windows phone does currently not support connecting to other devices for file transfer. Supported are profiles for audio and connection to a car system (through Phone Book Access Profile). For more information check the device page.
You might also want to check this post on the next update, a release date for this is as yet not known, but it will be some time after the release of Windows Phone 8.
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No, you will not be able to update the 710 to WP8. You will be able to update it to 7.8 instead though. This is entirely due to hardware limitations of the 710.