Give the trial version of
this software a try. It lets your PC see the SD card as an external drive while your Treo is connected via cable or cradle. Then try copying to the card from your PC. Also check the properties for the drive on the PC and see if it's set to read-only or is showing no free space. That can indicate a bad card, if the slide setting is correct.
*Thwacks forehead* But before you do all that, make sure that you're trying to save to one of these folders on the SD card: SD_Audio, RN_Audio, or Audio. RealPlayer can only work with those three folder names.