The SPD-S may be damaged and the only recourse if that is the case is to deal with Roland tech support. However...
Read this from the vdrums.com message board
The most common reason for this is trying to add audio that exceeds the internal memory capacity - which is not much. 16mb. The factory sounds have been strategically sampled so that they are small enough as to put many sounds in the small internal memory. That can give the illusion that you can put many sounds in of long length and highest sample quality.
Just in case you haven't read it already, the instructions to delete all data are on page 87 of the manual (free in PDF form from Roland).
I'd try sampling something really small like a snare hit, Mono audio, Long mode (page 52). If that doesn't go in then IMO you either haven't truly intialized the SPD-S completely or the unit is damaged. In either case, get on the phone with Roland and relay exactly the steps you took (maybe write them down?) and let them walk you through to see if/where there is an issue. If you just bought the SPD-S, I assume it's used as the SPD-SX has been out for a year or so. If it is damaged you may have a hard call as a repair can exceed the value of a used unit. Not trying to be pessimistic just trying to be realistic about what could happen.
If you do have success getting the unit working I would immediately start shopping for a Compact Flash card and CF Card reader/writer. 16mb is just too small for many applications. Then make sure you are sampling to the card when ever you sample or import samples via the card.
Hope it works out well for you.