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.