Either its:
turned around - but it normally won't fit if it's on the wrong side
Not formatted - use the phone's built in application to format it
Too large of a capacity - the Bold can take up to a 8GB (or maybe 16gb) card. If you have a one bigger than that in there it won't be "seen" (EDIT - T-Mobile claims it can go up to 32GB, so this might not be the issue)