I bought a 4gb Sanadisk

You must find the Sansa c250 menu that allows you to format the microSDHC card for use with media player.  Most microSDHC  cards are shipped unformatted.  It is a new technology and there is no standard format for microSDHC cards as they are used to store many types of data.  My cell phone uses one to store music, video,and photos, so the phone's manufacturer included a format command choice in the appropriate "phone memory" menu.  Look for the microSDHC card in a "memory" menu. Follow the prompts to format the card.  This only works on a NEW card.  If you format a used card, ALL data will be lost.  Formatting a card or a hard disk effectively prepares the memory to be written on, erasing any data previously written on it.