You probably have to turn on USB mode on the camera to have it synch properly. Once you plug the camera in, turn it on and look in the settings, there should be an option for USB connect mode, or something similar.
How old is your memory card? Also, many cameras have internal memory as well as the option for a SD/XD card. When you plug the camera in, look to see if other folders pop up, you might just be looking in the wrong place.