s500i problem

Why hello there! I recently purchased a Sony Erricson S500i and there seems to be a problem -- I can't transfer files from my computer to the phone. I installed the drivers, and connected the phone to the PC via the USB cord, and it had shown up as a 'removable disk'. I double clicked on the icon, but unfortunately a message popped up 'please insert the F drive'. My phone doesn't have a m2 card, but I've heard from my friends that you can store files on the phone's memory. Please, anyone with this phone; can you tell me if I can transfer files to the phone without a m2 card? I need to know since I don't want to be wasting cash on something which wouldn't rectify the problem. If you can transfer files to the phone without the m2 card, then I guess it's my computer.

Sorry if this is already posted, I'm kind of desperate.

Do you put the phone on transfer mode?