Hi there and welcome
What exactly happens when you put the SD card into the phone and try to access it?
Which data re you referring to? Photos?
No, this is all per the App, so for instance for the camera, you set the default storage location as the SD card via settings in the camera app.
For apps, only some apps can run from the SD card, and this you do after installing by going to settings, Manage Applications and if the app has been developed where it can run from the SD card then you have the button Move to SD which you can press (though for some apps this will stop it being able to be a widget).
But this phone has no global setting for this, its done per app.