Have you actually downloaded the media sync software (additional to the Desktop Manager)?
BlackBerry - BlackBerry Media Sync
Also, do you meet all the requirements for this to work....
System Requirements
To use BlackBerry® Media Sync, you must have the following:
BlackBerry Smartphone Requirements
* BlackBerry® Device Software version 4.2 or later
* A media card or on-board device memory3
* BlackBerry smartphone connected to the computer via USB cable
Operating System Requirements
* Windows Vista™ or Windows® XP SP2 or later, or Windows 7
Music Application Requirements
* iTunes® version 7.7.1 or later OR Windows Media® Player version 10 or later