Is it a new drive? If so, you'll need to partition and format it before it can be used:
Click "Start" --> right-click "Computer" and select "Manage".
Click "Disk Management" in the left pane.
Scroll down to the BOTTOM of the MIDDLE pane.
You should see your new disk there with a label such as "Disk 1" or "Disk 2", etc. Right-click on the label in order to create a new volume (which partitions the drive) and then again to format it.
Once it's formatted Windows will assign the next available drive letter to it and then it will appear in Windows Explorer.