I think I figured out what the problem was.
I inserted my card into a USB card reader and formatted it using a FAT32 file system.
As for the cnages in the BSP, I was not able to figure that out, but the code is now able to change directory.
The wierd thing is that after the code is executed, if I pull out the CF card and insert it into my pc, I don't see the newly created directory. I don't know why.