If an icon doesn't appear on the desktop, it should still show up in the finder. Click on the finder icon and the device normally will appear under "Devices" on the finder menu. If it's still not showing up it can also be one of two things:
First the USB may not be providing enough power for it to run. The solution for this would be to plug it into an external powered USB hub.
Second, the hard drive may need to be formatted again for Mac. Here's a quick article on how to go about doing that http://www.cnet.com/how-to/how-to-set-up-an-external-hard-drive-for-use-with-os-x/
I hope that helps with your issue.