what are you viewing your SD card from? have you mounted it from your phone (so that your computer can view the files)? to do this, click on the notification bar (where the USB connected icon is), and mount your card... then you should be able to see where to drag your files.

i have a sdcard>music folder where i keep my music. hope this helps.

 

does it show anything when you go through "file viewer" on your phone? i didn't create any folders for mine, so i'd suspect that the phone does it.

 

make a folder called music put your music files in there
make a folder called pictures put your pictures in there
make a folder called ringtones for the mp3s you want as ringtones
make a folder called notifications to add your own custom notification sounds
make a folder called videos for your video/movie files
make a folder called alarms for the your own custom alarm sounds