Make sure it is fully inserted in the correct orientation. That is with the gold tabs facing the screen of the device. The sd card may be difficult to install the first few times on a brand new device. Use a fingernail or other thin object to "click it in" Note that if the card does not click in it may become a UFO and you may never see it again.
Mine was a bit difficult at first and when it popped out it landed on a table so I got lucky. All has been fine since.
I thought I was clicking it in with my fingernail, but after your suggestion, I did it with a letter opener and it worked.
I know what you mean about UFO. I shot it into the air 3 times yesterday when trying to insert it.
Thanks so much for your help!