Weird, indeed, Skinja. I've not seen anything like what you describe with my K10D, but I only use 2GB SanDisk Ultra IIs, a matched set. I use a GGI SD/HC USB 2.0 card reader with my G4 desktop Mac; haven't tried it yet with my PowerBook, and I don't run Windows. Still, I've got a few questions to help clarify what might be happening, and a suggestion to try.
First, what are the brands and capacities of your SD cards? What brand card readers are you using on the Mac and on the Windows machines? Have you tried switching the card readers between the computers to see if behavior remains the same or changes in a way that might suggest where the problem lies? Can you use your Mac or Windows system software to take a look at the file system format (FAT? FAT32?) being written on your cards by the K10D; if so, is that format readable by both of your computers?
Finally, a suggestion: plug a card into a card reader attached to either Mac or PC and open your disk formatting utility. Select the card (it should appear as a USB drive) and run your "first aid" disk repair routine. Afterward, put the card in your K10D and format the card, then shoot a few pictures. Wait a day, and shoot a few more; this will assure there are at least two folders on the card. Pop the card into the card reader attached to the computer you used to repair the card, and see what happens. Try the card in the other computer/card reader and see what shows up. Repeat this whole procedure with the other computer/card reader/disk utility combination. Any change from what you've been experiencing? If not, go back to your disk utility software and try a couple of cycles of disk erase/reformatting, then reformat again in your K10D. Any change in behavior?
The above experiments should give you some clues about what your setup is doing; perhaps it will indicate that one or more of your SD cards has corrupted circuitry/flash memory. If you can try other SD cards known to be good, you might be able to eliminate or confirm other possible sources of the weird behavior your current cards exhibit. Good luck, and let us know what you find out!