From Options>Media Card, make sure media card support is set to on. You may need to format the card. From the same screen mentioned already press the menu button and choose format card.
You could take a look at this thread, it has loads of useful info on sd cards.
If you're hoping that it would increase the available amout of memory to the phone, it doesn't work like that on the Blackberry platform. All you can store on it is just media.
