Cellphone MP3 accessories problem?

I purchased a Kyocera cell phone for my son's birthday. The phone can also be used as an MP3 player. Virgin mobile did NOT send the memory stick nor the USB cable with the purchase so I had to buy these separately. I purchased a Merkury HiSpeed USB 2.0, and a 1 GB Transcend memory stick with the card reader adapter. The memory stick fits inside the card reader which is then supposed to be inserted into the USB. When I hook all this up to my computer (I use Windows Vista so I don't have to download a driver), the computer recognizes the USB as the F drive, but keeps telling me to insert a disk into drive F. Presumably, it can't see the memory stick in the memory card reader/adapter OR the memory card reader/adapter is not inserted correctly. It doesn't FEEL like it's inserted correctly because it doesn't "click" into place. Anyone out there have any suggestions? Not including the cell phone, these little purchases set me back another $81 today.