Is this a new SD card or a card you took out of another device?
If it is a card from another device, it is completely possible that it has been altered when formatted to that device, making it unusable in the one you are trying to put it in.
However if it is a new SD card, and is blank, then you should be able to connect it to a computer and format it.
Also if the card is damaged in any way (from repeatedly using in different devices as an example) then you would need a new SD card.
Lastly, should none of that all apply, then I would be looking at the phones SD card slot being the problem. If that is the case you will probably have to have the phone either repaired or replaced. If it is under warranty you should contact the...