Any new HDD needs two tasks done on it to prepare it for use by any OS. First you must Create at least one Partition on the HDD - this creates the unit's Partition Table and defines a specified area of the HDD to be used as one "disk" with its own letter name. The Partition may use all of the HDD's space, or less if you plan to create more partition(s) later. Secondly, each Partition you Create must be Formatted to install a File System (like NTFS) so that files can be written and read on it. Only then can an OS like Windows display and use the HDD and show it to you in My Computer.
So, how do you do this? Win XP (like other Windows) has a tool built in called Disk Management that can let you do each of these tasks. (In some versions like maybe SP3, the two tasks are combined into one helpful Wizard that lets you set parameters for both in one step.) Read how to find and use that. OR go to the website of your HDD maker and see if they have a free downloadable utility you can use to "Prepare" or "Initialize" your new HDD for Windows' use.