Conclusion:
- Transcend SDHC 4GB Class 6 -> not going
- SanDisk Ultra II 4GB Class4 -> does not work
So scrap!
That with the firmware update did not work with me on various XP machines.
I've then Kingston Media Reader 19-in-1 USB2.0 brought because he performed well in test of c't with SDHC, and am quite satisfied.