If you can't see folders with Explorer, calibre is not going to see anything either. It's not a calibre problem in all likelihood.
Have you looked at this:
http://www.amazon.com/gp/help/custom...deId=201346800
In particular you might try a different USB port. It needs to be 'powered' (not just an extension from keyboard/monitor).
Is there a reason you can't use Mayday?