It is possible that your hard drive is installed but not initialized. You might need to go do your Disk Management Utility.
You can do this by Right Clicking on My Computer -> Select Manage (If you're running Vista or Windows 7 you might need to give it permission when it pops up)
In the window that opens up click on the Disk Management located under the storage section. In that window you should see a summary of all installed driver (DVD drives, Hard drives etc)
Find the one that you just installed, more than likely it will show up with a black bar running across it. You will probably just need to Right Click -> Initialize Disk. It will pop up a little initialization wizard which will also ask you to format your drive. Your quickest route would be to just select Quick Format as there really isn't a need to do a full format.
If however you do not see the new hard drive, you will want to check the BIOS (I think it's F2 on an HP but it differs so I'm not 100% on that) and make sure that the new hard drive shows up there. If it doesn't I would recommend re-seating the hard drive and repeat the above steps.
If you're still not seeing the hard drive, it's possible you have a bad drive.