Make sure you are creating the folder on the mounted SD card, not somewhere else in your computer. You should plug the phone in, and it will ask if you want to use it in storage mode, make sure you choose that option. Then on your computer open whatever drive letter it gives you (it will change according to how many other things you have in your computer). Copy the files you want into a Music folder in the root of the card, not in any other folder deeper in the cardor the music apps may not read the files (so for example... E:\Music not E:\Stuff\Music). Some filetypes Android cannot read. The most common it will read would be mp3 and m4a. Other types may or may not work. Once you have those on there then make sure you unmount the phone from the computer before disconnecting it (You should be able to drag your notification bar down from the top on the phone to choose to "charge only" and that will unmount it). If you do not unmount there is a possibility you will corrupt information on the card as it is reading/writing to it when you unplug it.
You may need to restart the phone for it to rescan the card for new music. If they still aren't showing up I would try downloading another music player from the Market to see if it's just the built-in app that isn't seeing the files (I personally use Winamp).
Once you hook up your phone to PC, make sure you select the Memory card option on the phone, just as explained from halcyoncmdr134, and when you do the transfer, make sure you copy and paste your music or drag and drop the actual mp3s not the whole folder. There should be a folder called Music already in your card, make sure you use that one and don't make a new one.
Thanks to you both for your help. I've about decided it has something to do with 32 gig sd card I installed. I had saved the data from the original 8 gig card to my pc.I then unmounted the old card and installed the new one. I hooked up the usb to the pc and transfered the data to the new card. I then switched the usb to charge only and unhooked the cable. I thought all was good because the green hornet movie worked and the photos I had taken were still there. I then hooked back up as a usb drive, made a music folder, (there wasn't one there already) and tranfered my well organized 16 gigs of music. Once tranfered windows explorer showed the folder and files there. When I unhooked and the phone mounted the card there were no music files. I also noticed my sample music and photos that came with the phone were also gone. I hooked back up to the pc ans sure enough, All the data was still on the card EXCEPT the music folder, and sample 3d and 2d photo folders.After retrying every which way I tried the HTCSync program. I thought it was going to work because after it synced the music to my phone explorer showed it all there. Unhooked restarted phone and nothing. Checked it on the pc and they were erased again. After all that I stuck the old 8 gig card back in, created a music folder, added one album. It worked. the album, sample music and photos all still there. I'm baffled because the new memory card is a high quality micro sd. The spec for the phone say's it supports it and I followed the same proceedure. I'ts also frustrating because HTC support has very little info as well as the online user manual. Anyway, I'll quess I'll just use the original card and check back to see if this turns out to be a problem for other and if someone comes up with a solution. Thanks again.
Then the only suggestion will be to use the adapter for the 32Gb card and plug it like that to your PC, and try making a folder and put your songs in that this way. Also check under you phone (while the card is installed), what size does it show the card to be?
I hope this helps