What year is your MacBook Pro? Before 2010, I believe, most MBPs came with an ExpressCard slot. Those later came with the SD slot and it's just to the left, on the side of the left palmrest. And on the Retina display models, it's on the right hand side.
You might have one of the 'micro' cards that needs a standard SD adapter - I have a 4GB of one of those in my phone, but it came with an adapter. My camera SD cards are standard size and they fit right into the card reader and show up on my desktop.