You must format your MMC card when you first insert it into your phone (even if your phone recognizes it). I doubt your MMC card was formated when you purchased your phone. Nokia confirmed they don't format MMC cards on their phones in the U.S.
After you do that, you can find any audio/picture/video file on your phone and your MMC card. However, if that would not help, the only thing left is to replace the card since it might be bad. Nokia would do it for FREE.