I had the same problem when I got mine - had a few tense moments, almost burst into tears at one point and started to frantically flick through the user manual. Anyway I then realised that you need to snap the thing in half - which I did once I had built up the courage. The card should have a hinge in the middle, and there should be an arrow pointing where you should make the break.

Don't send it back - everything should be ok!

Think Nokia should include some instructions...