Is the card properly inserted? Try cycling the µSD card in the socket.
When locked in place, the card should be essentially flush with the outside edge of the socket, protruding less than 1mm. Check that the card “clicks” lightly, and releases on its spring loaded guide when pressed gently with the fingertip. Brand-new cards sometimes need to be cycled once to ensure a proper fit; sometimes there is a wee bit of interference at the card edge.
Turn on the Fuze, and go to Settings > System Settings > Info.
Look at the memory display. It should list both the internal memory and then the µSD card. It is there? Plug in to the PC again and see if the card lists. Open a Windows Explorer window, and see if the Fuze displays:
In MSC mode, the Fuze will list as two drives. The second one listed alphabetically is the card. In MTP mode, double click on the Fuze, and you will see two drives displayed as Internal Memory.
In Windows Media Player, the Fuze will display when the Sync tab is selected. If you click, in the upper right, “next device”, the µSD card will show up next.