I suspect you are doing nothing wrong. Calibre only provides an easy way to transfer files if the device in question exposes itself as a disk drive.
If you have an SD card then you could remove this from the PDA and plug it in separately using a SD card adapter and it would then probably show up as a disk drive so that you can use the Calibre Save to Disk option. I have seen forum references to others using this approach.
if the PDA supports ActiveSync then another possibility is to use "Save to Disk" in Calibre to put the files at a known location, and then transfer them to the PDA using ActiveSync.
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