There's not a feature to save the address book to a media card. I know of 2 workarounds:
Synchronize with the Desktop Manager software to an email client (i.e. Outlook). Can them export the contacts to a file and place said file onto the media card. Or justleave in in your email client as a backup
Some carriers offer a service for an extra fee to backup your address book. For instance if you have AT&T they offer a service called AT&T Mobile Backup
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