It may sound like a basic question, but it's the most commonly overlooked step when installing a new hard drive. Windows cannot 'see' the drive until it's been formatted, so use your Windows CD, the software from Western Digital (Data Lifeguard), Disk management, etc to format it in either FAT or, if you're using it on 2000/XP systems, NTFS.

If it has already been formatted, Windows may be detecting the hard drive but the drive may be hidden in My Computer. In that case you can use Microsoft's TweakUI to unhide the drive so it's easily used.

Hope this helps,
John