Check the Sansa tutorials at http://www.sandisk.com/Retail/Default.aspx?CatID=1468
to make sure you have followed all the steps first.
In my experience, every mp3 player/photo frame/etc with a card reader has a MAXIMUM memory limit for the type of card that it can read. It is possible that the Sansa player can only read 2GB Micro SD cards or smaller - and thisi nformation may not have been available when they printed the manual. If you have followed all instructions, and it still will not read the card, try switching to a 2GB Micro SD card.