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If you had a Pokemon on it for sure the option for sending Pokemon onto it would not show up in the Pokewalker menu.
If that is the case check your game manual/s to see how to retrieve a Pokemon that was lost from the Pokewalker - the game makes a backup of it before sending it. (It might be mentioned in the FAQ thread as well).
GOing to close this then. If you have any other questions please ask them in the Help thread sticky at the top of this section.