Are you running Windows XP? Is there a drive letter already assigned in order that it may be trying to map the SD Card to?
XP has a bug with this with network drives. Say for example, if you had a network drive mapped to F: and had D: as your optical drive, and E: as another hard drive (or anything, really), and plugged in a thumbdrive, it wouldn't map the drive letter because F: was used already.
If you hit Start -> Run, and type in "diskmgmt.msc" and hit enter, it will open the Disk Management application. From there you can see the drive and its respective partition, but it won't have a letter assigned to it like the other things listed there. If you right click on the partition and choose Change Drive Letter, and select something that isn't used, it would mount properly, and off you go.
This may not apply to you, but I thought I'd put it out there.