Yes, you have to push the card in all the way, until the eject button moves out, and the small green "PC CARD ACCESS" LED blinks.
The _first_ time that I tried this, it was a dark room, and I managed to put the card in _sideways_. Not good. I had to take it apart to straighten the pins on the card reader.
Do you have the NEC CD-ROM? There is software on it to format the card, create directories, convert PP images to JPEGs etc. (The JPEGs or BMPs must be in directories.)
I believe that you can download the most recent software from this Japanese NEC site:
http://support.nevt.co.jp/dl_service/pcview_en.htm
BTW, I created directories and downloaded images on a Mac Cube, without any additional software. The CF card showed up as "IBM" format on the Mac desktop.