Luticman, I find you note confusing. You say the new unit DOES show up in BIOS Setup and is recognized. Does the Setup Screen's info (like manufacturer, model number, and capacity) appear correct?
Then you say that unit shows up in Windows' Device Manager. Does it show any problems with a yellow triangle? Does it indicate anything odd about its driver?
IF you are running Win XP, there could be a driver issue. If your Windows is Vista or later, ignore this paragraph! The issue with XP and earlier is that they do NOT have any "built-in" driver for SATA or AHCI devices. So, like many other devices, you need to install the required driver. Now, if your HDD is being used in Windows XP only as a data device and NOT as your boot drive, this is simple. First of all, as you boot up go immediately into BIOS Setup and to the place where you configure the SATA drive unit and ports. There you will find (either for each port separately, or for all SATA ports together) an option to specify the SATA Port Mode, with choices like "IDE (or PATA) Emulation", "Native SATA", "AHCI", or "RAID". For any SATA HDD the best choice is AHCI, or maybe Native SATA. Do NOT use RAID unless you actually are going to use a RAID array system. If you have to change any setting in here, be sure to SAVE and Exit from Setup and the machine boots into Widows. Now go to Device Manager and look to see if that HDD is there. If it is, check for a yellow warning triangle. If it's there but even without a warning, go to where you can update its device driver. If, on the other hand, this new HDD does not even show in Device Manager, choose to have the system scan for device changes and new devices. The whole idea here is to ensure that you load the driver for an AHCI device type (or SATA if there's no AHCI to choose). Back out of Device Manager etc.
Once that is done check Disk Management's Lower Right panel again (not upper right) and scroll through if necessary to find the new HDD. If it's recognized in BIOS Setup and in Device Manager, it REALLY should be there in Disk Management waiting for you to Initialize it. In more recent versions of Windows, this is often called "Create a New Simple Volume".
In Windows Vista and later versions, the AHCI device driver is "built in" and does not need to be separately loaded in the manner above. It should be there already, so the HDD should show up properly in Disk Management.