First of all, your device must be compatible with ARCHOS Fusion Storage. Check if the ARCHOS Fusion Storage icon is visible from the Settings.
If your device is compatible but the ARCHOS Fusion Storage icon does not appear in the settings, update your device.
You need a micro-SD card formatted in FAT32. For more information, see this following question/answer.
Last but not least, if ARCHOS Fusion Storage is displayed in the settings but you can't activate it, reboot the device.