I blogged about this feature of the SDF two years ago (almost to the day in fact), but it certainly bears repeating since it's so useful.  If you need to know wehn a disk (SD, CF, USB, etc) has been attached or removed from a CE device (including Windows Mobile) you can use the SDF's DeviceStatusMonitor class (which, generally speaking, wraps the RequestDeviceNotifications API).  It's really, really simple to use:

private void WatchForDrives()
{
  DeviceStatusMonitor monitor = new DeviceStatusMonitor(DeviceClass.FileSystem, false);
  monitor.StartStatusMonitoring();
  monitor.DeviceNotification += delegate(object sender, DeviceNotificationArgs e)
  {
    string message = string.Format("Disk '{0}' has been {1}.", e.DeviceName, e.DeviceAttached ? "inserted" : "removed");
    MessageBox.Show(message, "Disk Status");
  };
}