New hard drives should just work straight in the machine. The only exception to this is the old PATA drives which require you to set the jumpers depending the setup it will be in (e.g. Master, Slave, Cable Select). SATA drives go straight in, plug and play from the physical aspect.
Once plugged in you will need to format the hard drive and partition it but this can be settled when you install Windows from scratch. Don't forget that some hard disk controllers (esp on high end motherboards) may require you to load some drivers before the hard disk is seen in the Windows setup. A common misconception when a new SATA hard drive is installed esp in Windows XP is that because XP hasn't detected the hard drive, the hard drive must be faulty. Not so - XP just hasn't seen that a SATA controller exists, and you need to point it to that direction. Once you have done that, then you can proceed with installation on the new hard drive.
In XP this can be done at the prompt when it says "Press F6 to load Third Party etc etc". This will then ask you to insert a floppy disk with the necessary drivers on it (the floppy disk will come with your motherboard, or you may need to use another computer and the Motherboard CD-ROM to create this yourself.
In Windows 7 and Vista, luckily, you can load the drivers off your motherboard's CD-ROM (if you have multiple optical drives) or you can even load them off a USB key.
Good luck with the installation.