First of all make sure your SD card is actually physically installed in the phone. If it is, take it out, put in a USB card reader, and see if your computer can read it. If not, then you may need to format it. If that does not work, you could have a bad SD card.
Here is a very detailed tutorial I wrote on how to copy files to your phone and how to install programs on your phone, including a section on how to install to your SD card and how to decide when it is better to install to your phone or to the SD card.
How To: Install, Uninstall, and Transfer Files on Windows Mobile
I hope this helps.