HTC Windows Troubleshooting - bibanon/android-development-codex GitHub Wiki

This is most likely an issue with the SDCard inside the phone. Yes, there is one; it's just hard to access.

The best thing to do is to factory reset the phone, which will wipe away the data on the SDCard. The data will be inaccessible anyway, as WP7 locks it's SDCards to prevent formatting or reading cards without approved devices.

1. Completely turn off your phone. Perhaps remove the battery.
2. Hold both volume buttons, and press the power button.
3. Your phone should show the white HTC screen, and soon move to the factory reset screen.
4. Press down to factory reset your phone.

If this doesn't work, your SDCard might be bad. You'll need to go deep into the innards and replace it from within.