You sure you have the settings correct on the Pearl?
Sometimes people forget to save the settings. If the folders are not automatically inserted on to the chip, something is wrong.
Check the settings with the below, start over, then do a battery reset.
The folders should then be automatically set up.
To set the Pearl up to use the MicroSD card and create the default folders:
Turn <Media Card Support> to 'on'
Turn <Mass Storage Mode Support> to 'on'
Set <Auto Enable Mass Storage...> to 'yes'
click <escape> key [key to right of trackball] to get to <save> option
Scroll to 'yes' and click trackball to save the settings.