If you plug in the printer before the HP software has been installed, then when you install the HP software, it may not detect the printer. Try this:
Unplug the printer
Uninstall the printer from the device manager
Install the HP Printer Software (either from the CD or downloaded from the HP website)
When the HP software says plug in the printer, plug in the printer
If nothing happens, then check the "I will plug in the USB printer later" so that the install can finish.
In device manager, right click anywhere and select "Scan for new hardware" (this should find the printer)

Good luck