Just to expound on what Steve said:
Yes, there is a setting in your camera that will allow you to take smaller pictures, but in general you don't want to do that because you throw away a lot of potentially useful information. It's best to do it on your computer, if needed, so you always have the original high resolution image. In case you wanted to print, for example.
Most monitors are much lower resolution than what comes out of your camera (this is about to change), so if you look at it at 100% (every pixel on your sensor is represented by a single pixel on your monitor) the image is very big. However, the viewer you use to look at the photos should allow you to view the image at screen size. I actually use the Windows Photo Viewer for scanning through photos, as it's very quick. You can zoom in to 100%, but when it first opens a photo is will be at screen size. I don't know what program you're using but perhaps try the Windows Photo Viewer (right click, "open with", Windows Photo Viewer).
Digital cameras are indended to work with some sort of photo processing program(s) on a computer. I know some people don't want to deal with this step, and just want their photos off their camera, but it's the price we pay for instant images. They do make programs that simplify this process significantly for those inclined. They often have single "auto correct" buttons that will try to bring out colors and whatnot in an image. Or you can push buttons to see how various styles look. And finally you can shrink the size of your image if you want. I recommend Picassa for this, but there are many, many programs that will do the same.
