For some odd reason I can't get my hard drive to pass the authentication check when I try to re-install the PlayOnline software. I don't have any games or software on the HDD at the moment.

Anyway, if you have a PS2 40GB hard drive and you are having trouble getting a save game folder to show up in the browser I found a solution.

Simply attempt to install the PlayOnline software from your FFXI disk, the one with Tetra Master.

You don't need to do anything but let the disk boot up and then press a button. after that you can cancel out of everything and when you reboot your PS2 you should see the save game folder. Now just rename it to whatever you want.

I'm not sure if this works with other HDD's but I know it works with the Sony's.