I recently recieved a brand new (OEM) Western Digital Caviar SATA 250G HD and installed it. I'm not sure if I messed things up, or if its DOA.

When I installed the HD I originally put the windows disc in and installed a fresh XP-SP2 on it. I allowed the windows set up to partition and format the Hard drive. This created a dual boot-like situation where I could pick which windows to run. Shortly after resetting the computer while I was completeing some driver installation(nforce4 MB drivers) the computer wouldnt run windows on that hard drive anymore. If I chose to run the windows installation on the SATA hard drive it would basically tell me that that hard disk isnt accessible, or not connected, and I'd have to reset the computer and could only run on my original Hard drive. I DID run windows on the SATA harddrive for an hour or so without problems, by the way.

Sorry for the long explanation of what I did. Basically now the hard drive is noticed by my BOIS every-other reset. And, I cannot initialize, or re-format it now. I'm wondering if it came to me defunct?

I also checked the device manager and properties of the Harddrive when windows sees it, and everything says "working properly"...

I downloaded drivers for the harddrive, but I didnt know how to install them. Although, the harddrive was working for a time so I figured I didnt need them. Any suggestions would be greatly appreciated.

You just need SATA drivers when you install Windows. It will tell you to press F6 to load SATA drivers. If you got as far as running Windows, I'd say that part worked. You shouldn't need any other drivers except for a RAID configuration.
See if WD has diagnostic utilities on their website to see what's wrong with the drive.

I'm just going to get a new one, and RMA this one. I don't think any of this should be this difficult.