This tends to happen when a disk doesn't have the data for specific files and folders in the locations where Windows expects them to be; meaning the format is different in some way or form, or the reader isn't reading correctly.
A similar thing happens with floppies, after they've been damaged by mobile phones ( mobile phones create fields which damage the film inside floppies) along with the 'Format disk now?' problem.
Check that the card is in fact compatible, and that the reader is working properly.
(Either that or you've just got a bunch of short cuts on the disk which point to non-existent locations...)
Well, I finally decided to create a website that really reflects what kind of programmer I really are: OneManBand software:
http://www.ombsoft.com