Hi there Stanny boy,
If the HDD is a brand new one, you most probably need to go to Disk Management and initialize, partition and format it.
If you have been using the HDD for a while and just disappeared, the first thing you may want to try is to connect it with a different USB cable. If the issue persists, you need to go to Disk Management and see whether it has a letter assigned as well as healthy partitions and file system. If it doesn't have a drive letter, you need to assign one as Phillip Corcoran already suggested. If it has corrupted partitions or file system, you may need to use some data/partition recovery software in order to retrieve the data(if you need it).
Hope this will help,
D_Know_WD