Just double check that your settings are set to 'Memory Card' and not 'Data Connection'.
If it is then reattach your phone and on your computer go to 'My Computer' then 'Control Panel' then 'Performance and Maintainence' then 'System'. Now another little window will come up called 'System Properties'. Click on the little tab called 'Hardware' then click on 'Device Manager'. Now what you'll need to do is click on the 'Scan For Hardware Changes' button (sometimes it comes up as a symbol of a computer with a blue key across the screen). This will scan your computer for any new hardware and it should install itself now.
If that doesn't work try using 'New Hardware Wizard' to install your phone. To open the 'Add Hardware Wizard' click 'Start', click 'Control Panel', and then click 'Printers and Other Hardware'.
If neither of these work your phone should of came with a CD-Rom. Try loading that into your computer and see what happens, just follow the prompts.
It sounds like you're just having problems with your connection, not the phone itself. I get that all the time so have a bit of experience with it.
Let me know if this works and if you manage to get your music up and running on your phone. If not I may be able to come up with another alternative.
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