Do you get the "hardware connected" sound when you plug it in?
If no, it's probably a faulty drive and you need to buy a new one.
If yes, it may simply be that Windows hasn't assigned a drive-letter to it, but you can do that manually.
Control Panel > Admin Tools > Computer Management > Disk Management
Right-click the ribbon which represents your removable disk and choose "Change Drive Letter & Paths".
Click "New" then choose a drive-letter from the drop-down alphabet.