Hello Sir,Infact when i want to download something in my memory card there is written MSDC write error.So please guide me how can i get rid of this problem.

This may be related with a corrupted or bad sector in the msdc more than anything in the iPhone or music player. If you have used this memory a lot, erased and copy many files over time, it may be a good idea to back up and reformat the memory using a low level format so it will take some time to really erase and format the memory. But if the damage sector is hardware or physical and not an error on the format you may need to live with it or replace it. Anyway check with another msdc device and verify if this is related to the particular msdc you are using.
Use this tool to format your memory card http://www.softpedia.com/get/System/Hard-Disk-Utils/HP-USB-Disk-Storage-Format-Tool.shtml