Actually you have to partition it first, then format it. If you're running Windows XP, go to Start, Run, type "diskmgmt.msc" without quotes. The new drive should appear in that window. Once you have it partitioned and formatted, it will show up in My Computer.
Just to double check, your not seeing the volume in Disk Management? You should see if you can see the volume in diskpart or another command line utility. You should be able to see your drive in dos, you could format it there if nothing else works.
If you have an extra Sata connector try to just install the drive there. If M$ diskmgt see the disk, format and set the enclosure back up to test it. If your still have the issue, you may have a defective controller on the enclosure or a bad cable (maybe even a bad driver)