Dell has problems with their SD slot when used with cheap SD cards like SanDisk ... Since they haven't been able to verify if its because of the cheap SD cards or their hardware doesn't like going that slow on the data transfers they just say its not supported ...
However if you have a good SD card like Lexar or SimpleTech that transfer at higher data rates you should not have a problems using the SD slot to store and run programs ...
Once I got rid of my SanDisk cards I've never had a problem running on the SD slot ...
This page of the support thread shows the speed of the SanDisk cards and why people think they are causing the problem ...
http://forums.us.dell.com/supportfor...ending&page=32