I took ages to resolve this problem after re-installing FSX under Windows 7.
It used to be so easy to do under XP & Vista.
In FSX click settings....Addon Scemery. Locate the files in Addon Scenery.
When I came to do this the dialogue box when clicking OK asked again for a file location but you couldnt enter it. This put it into a loop where all you can do is cancel.
Someone helpfully on FlightSim.Com has posted a fix.
Just click on anywhere in the empty space in the middle of the dialogue box instead of OK.
The Scenery is then listed and exiting will load the scenery files.
Ensure in the Graphics set up that the scenery default is not on very sparse as it still wont show.