The only cd you received is the driver cd. At this point its safe to say that the drive is defective as windows doesn't detect it.
You should opt for a replacement from the retailer.
If they ask for a DOA(Dead on arrival), visit the nearest service centre and explain the problem. If they reinstall windows and it works, great or else insist on a DOA certificate, then show this certificate to the retailer and ask for return and replacement.