You need to initialize the drive in "disk management". If you have win 7, simply type disk management in the search box and you'll find it. In XP, right-click "my computer" and select "manage", then click on disk management. Once the drive is assigned a letter, it will show up.
Use "Start -> right-click "Computer" -> click "Disk Management" in the left pane.
Look at the BOTTOM portion of the middle pane in Disk Management - you may have to scroll down to see the disks. Right-click on the new disk to create a volume and format it. Once this has been done the drive will be assigned a drive letter and it will appear in the top part of the Disk Management pane as well as in Explorer.
If the drive doesn't show up in the lower part of the Disk Management pane then you've got some sort of hardware issue - double-check that the drive is properly connected and that it's plugged into a power outlet. "Portable" 2.5-inch external hard drives can usually be powered by the USB connection itself, but "Desktop" 3.5-inch external drives can't - they need to be plugged into a wall outlet using a power transformer.
Sometimes even the portable 2.5" drives need external power, or they have a switch to select USB or external power. Check your drive documentation to see what it says about power requirements.