While I was doing my research on this phone, I kept reading that it would handle SDHC cards up to 8GB. The HTC website says "SDHC Capable" with no mention of a maximum capacity, though.
I have a Sprint Touch Pro with an 8GB card in it and it works fine. I sync my device with Windows Mobile Device Center running under Vista Ultimate x64. The storage card shows up as a subdirectory under the root directory of the device in the File Explorer module of WMDC. The File Explorer program on the device does the same thing, but it also has a drop-down menu at the top of the screen with Device and Storage Card as options.
Individual programs on the device typically have a setting which specify where they store data. The camera/video program definitely does, but that's the only program I've configured on my Touch Pro so far. I had WM 6.1 on my Mogul, though, and I could tell most programs where to store and look for data.
Pete