To expand on his "how to find your SD card"... for me its:
MyComputer -> Mobile Device -> My Windows Mobile-Based Device -> Storage Card

That will take you to your SD card and show you the contents. Like sanjonny, I have music/video/etc. I downloaded/purchased Spb Mobile DVD, and it will turn a full length movie into a 250-400mb video file for portable watching. Makes airplane flights a lot of fun, although this screen is a bit smaller than my previous PPC that I got it for. It plays movies as video files thru WMP, its slick!

And yes I agree 100% with sj, install all your apps on the SD card, its well worth it to save space off the main unit. G'luck!