that you better buy a external hard disk with its own power supply. So return this one and get another. Here's one as an example: http://www.lacie.com/products/product.htm?pid=10727
If you bought it at a decent shop with some sense of customer service, they will surely do the exchange for you.
Or buy an externally powered (active) USB hub to put between your laptop and the disk. Here's one as an example: http://www.amazon.co.uk/Port-Active-USB-Hub-NE1007P/dp/B00016ZNTQ
Hope this helps.
I just bought a Western Digital My Book Essential Edition 250 GB external hard drive. As soon as I plugged it into my laptop (Dell Inspiron) I received a power surge notification that a device had exceeded the power limit of the USB hub port. Does this mean my laptop does not have enough power to work with the hard drive?