Plug it back in, boot up your computer, and go back to Disk Management.
If you could upload a screenshot of the Disk Management Dialog, showing your HDD's in the lower section, that is worth a thousand words in telling what is going on, and how to correct it. Can use ImageShack, or Photobucket, or even Skydrive (shared) for the image.
From what you related, and the sound on disconnect, it sounds as if it is working OK. Just a matter of setting up the HDD to work correctly.
A lot of folks get into trouble by connecting a USB HDD to their computer and while it is on, disconnecting it. There is a chance of corrupting or incompletely written data to the USB drive, so I always use either the "safely remove mass storage" icon in the system tray, or just shut down my computer before disconnecting any storage device. Just safer.