The "removeable drive" is the media card slot. It sounds like you don't have a card installed. All your address information isn't stored on that card anyway.
Do as dgray8 suggested and download Desktop Manager 4.2 SP2 found Here
and see if it will connect to the desktop manager. If it will you can use the backup/restore feature to backup the device. If that doesn't work then you are out of luck. It's a good idea to make regular backups using Desktop Manager.