I think you might want to read thru the guide again. Be very careful to read all the relevant instructions. Reason for my suggestion is that you accessed the SD card menu rather than going through the Data Mgt as instructed for a 4.1 Wii. Also, make sure you are using the recommended standard SD card, not SDHC ...a high quality 2 GB SD is usually good.
To start over, format that SD as FAT32 using the full format, not the quick format, option.