Windows may not have assigned a drive letter to it, as often happens with external drives.
Plug the drive in.
Go into Control Panel > Administrative Tools > Computer Management > Disk Management
In the bottom-right pane, find the ribbon that represents the external hard drive (it may say "RAW" for the partition type, and no drive letter).
Right-click that ribbon and choose "Change Drive Letter and Paths".
Select a letter from the drop-down box.