What should happen here is:

You need to enable media card support: options>advanced>media card. You also need to select a mass storage mode options (yes, no, prompt.)

Pull the battery on your device and install the card. When the device powers up you may or may not see a message indicating a media card was installed and it may ask you if you wish to format it.

When connecting the BB to your PC you should receive a prompt on the BB asking if you wish to enable mass storage mode. You do. If you have a device password you will need to enter it here.

You should now have DLA to your media card from your PC.