Ok, Lets go through all this, and just in case I'm going to go through everything that is required.
You purchased a microSD media Card
You have properly installed it in your pearl and it is locked in place.
You have formated that card from the Blackberry Options/Media Card Menu.
In Options/Media Card,
you have Media Card Support On
You have Encryption Mode set to None
You have Mass Storage Mode Support set to On
You have Auto Enable Mass Strorage Mode When Connected set to Yes
Now tell me, When you go to the media app, and open the menu and select explore, what do you see?