This is progress. A few more questions:
If you first plug the card into the adapter, then plug the adapter into the computer, does the same thing happen?
Do you have any other ExpressCard slot devices, and if so, do they work as expected?
Did the Delkin adapter come with any software, and if so, did you install it properly?
I assume that "I don't have any problems when using a usb card reader" means you can read *this same card* in your USB reader. Is that true? If you have more than one card, do all your cards produce the same result when using the Delkin adapter?
Have you verified that your Delkin adapter is designed to read high-capacity CF cards of whatever size you're using?
For what it's worth, my own view on CF card readers and MBPs is that the ExpressCard CF readers I've seen are much more expensive, fragile, and vulnerable to damage in transport than almost any USB card reader. Though I always used CardBus-slot readers for all my flash memory cards (CF, SmartMedia and SD) when I was working with Powerbooks, I switched to a multi-format USB reader as soon as I got my MBP.
This is the one I use. It's 2.9" x 2.3" x 0.65", built like a tank, doesn't mind being dropped, and reads everything. I paid $10 for it. If you can't get your Delkin adapter working, I strongly recommend returning it for a refund and just going with USB.