Hi Simon,
A screenshot would be very helpful!!
You do not need to have a folder connection to ArcMap to use the 'Get Data From ArcPad' tool - but the tool is only looking for .axf files (which are created when you check-out an ArcPad Project). It will NOT display shapefiles, personal geodatabases or file geodatabases.
When I open the ArcPad Data Manager 'Get Data From ArcPad' tool, after pressing the 'Add' button (big green + in the top right corner) - I am presented with a standard windows file explorer called 'Select ArcPad File(s)'.
Using this, I am able to navigate into any folder location on my computer. When i find the .axf that i want to check-in (eg. Riverside_mdb.axf in the Riverside Sample Data Folder) - i can double-click the .axf file and this is then loaded into the 'Get Data From ArcPad' dialog to review my edits.
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Could you try using the 'Get Data From ArcPad' tool on the Riverside Sample Data and let me know if that works for you?
Thanks,
Hannah