First, you are right NOT to change any jumper on the new HDD right now. IF it becomes necessary (to slow down to old SATA) you can do it then.
To start with, you WILL need to go into the BIOS and check a few things. If the new drive is not even detected in BIOS, you cannot do anything with it in Windows. Now, it is entirely possible that your mobo had the SATA ports DISabled by default, so that's the first thing we'll check.
To enter BIOS Setup you must reboot your machine and right away start holding down the "Del" key. Some machines use a different key, so watch your screen as the first messages display. Usually there will be a prompt (often at the bottom) to tell you which key gets you into BIOS Setup. Anyway, after some of the POST messages flow past the screen will stop on the opening menu of BIOS Setup. Most are designed so that you move around with cursor keys. There is likely a set of instructions on which keys do what. Move to the first main set of screens which will show you something about the IDE drives you already have working, plus other things like date/time, etc. You MAY find mention here of the SATA ports, but they may be on a different screen. Look around until you find where the SATA ports are managed. Look for a line about them, move to that line, and often you have to hit "Enter" or "Space Bar" or something to get details on this item and make changes. Watch for the screen prompts. You want to find whether the SATA ports on your machine are Enabled or Disabled, and change it to Enabled if necessary.
Next, back out of that and look very close nearby for a line about SATA Port Mode. Here you'll have a choice of IDE (or PATA) Emulation, or Native SATA, or AHCI, or RAID. For what you want to do, do NOT choose RAID. The ideal mode is AHCI, but that does mean that you will have to load the AHCI device driver into your Windows installation afterwards. (Often Windows will do this for you, because once it boots with that type of device connected it will detect the new hardware and try to load the driver.) If you want to make it really simple you can choose the IDE Emulation Mode. It will work perfectly, but you will lose a few benefits of the new SATA drive capabilities.
Back out of this and look again at the screen. Does it show you a SATA drive attached? Or maybe you'll have to move back to that first screen where the other drives are shown, to see if the SATA drive is there, too. And watch for potential confusion - some older mobo BIOS's label the SATA drives as if they were IDE drives that come after the real IDE drives, with names like "IDE Channel 3 Master". The key point is that you MUST be able to see the SATA drive somewhere in BIOS Setup, or the BIOS is not able to detect it. If it really is nowhere to be found in BIOS, MAYBE the interface speed is the problem. This is the one case where you might want to put a jumper on a pair of pins (specifically pins 5 and 6) to force the new drive to slow down to the 1.5 Gb/s speed. (Of course, to do that you have to get out of BIOS Setup - see below - and shut down the machine, then come back in after installing the jumper.) See this page on the WD website.
http://wdc.custhelp.com/cgi-bin/wdc.cfg/php/enduser/std_adp.php?p_faqid=1337&p_created=1112379341&p_sid=VdsDc*jk&p_accessibility=0&p_redirect=&p_srch=1&p_lva=&p_sp=cF9zcmNoPTEmcF9zb3J0X2J5PSZwX2dyaWRzb3J0PSZwX3Jvd19jbnQ9NTEsNTEmcF9wcm9kcz0yMjcsMjc5JnBfY2F0cz0xMzAmcF9wdj0yLjI3OSZwX2N2PTEuMTMwJnBfcGFnZT0x&p_li=&p_topview=1
OK, once you can see the SATA drive in your BIOS Setup screen, you MIGHT want to check that it is NOT going to be used for booting. Look in the more advanced setup screens for a place where you specify the Boot Priority Sequence. Look at the details there. You want to be sure that it will try to boot from your original IDE drive you always have booted from (maybe the second choice after your optical drive). But there should be NO mention of using the new SATA drive to boot.
So, once you've looked around and set a few items, IF you had to change anything look for the screen prompts for how to get out of here. Usually there is a menu page, and often a quick single key from any page, that lets you SAVE and EXIT. There is usually a different key to exit without saving anything. Do one of those and the machine will reboot, and it should go into Windows XP by booting from the same IDE drive it always used.
Once Win XP is loaded up, watch for any quick message that it found new hardware and loaded a SATA or AHCI driver for it. That would completely confirm that your drive is working and Windows is happy.
Now you have more things to do. No OS can use any new blank hard drive right away. Two operations need to be done on it first, and they can be done using Disk Management built into Windows, as WyomingKnott has outlined. But they cannot be done if the BIOS does not even detect the existence of the HDD, and that's why I tried to guide you through a few BIOS steps to make sure it is working at the hardware level.
The first operation is called Creating a Partition. A Partition is a specified area of the hard drive that will be used as if it were one "Disk" with its own letter name. It is possible to make an entire HDD into one huge Partition, or to split it up into two or more separate "drives". I prefer the one huge Partition way, as WyomingKnott also suggested. When you Create the first Partition on a drive, that writes to a specific spot on the HDD a small file called the Partition Table and MBR, which contain a few key pieces of data. Any OS knows where to look for this and needs it to find the actual place where the Partition(s) is (are). After the Partition(s) is (are) Created, then each must be Formatted. This installs on the Partition a set of files used for managing all the data files you place there, and almost always you would want it to install the NTFS type of File System. As it happens, In SP3 of Win XP, when you use Disk Management to do these two operations, you get a helpful wizard to make it all easy and this combines the two steps into one process for simplicity. So follow WyomingKnott's outline. When you are done you exit back out of Disk Management and reboot, and Win XP will show you the new drive in My Computer, ready to use.