|Did you connect BOTH the power and data cables? |
Are you running at least WinXP SP1?
Is the new drive a SATA type? Do you have any other SATA hard drives installed?
If not, you may need to install SATA controller drivers.
If you don't have SP3 installed, I suggest you install it now. Go to the link below and download it.
Are you sure you are looking for the new drive in the POST screens BEFORE Windows starts?