An empty new HDD will NOT show up in My Computer until you prepare it properly. So let's go through the steps.
1.Disconnect power, open up and mount the unit physically in the case. Attach power and data cables to it. I'm assuming this is all DONE.
2. I see you are using Win XP. IF you have only the original version of XP with NO Service Packs installed, you cannot use a drive over 128 GB. So you must update your XP to the latest version (SP3) before doing the rest of the install. But as long as you have at least SP1 or later. forget this - you're OK.
3. I assume you have a new SATA drive, and that you are using it as a data storage device, and not as a boot drive. Win XP does not know how to use SATA drives in their native mode unless you have a driver loaded for that. You MIGHT have done that already - if so, do not re-install it. BUT the other alternative which you may already be using is to have your mobo take care of this little issue. That's the next step.
4. As soon as you turn on power, hold down the "Del" key so it boots into your BIOS Setup screens. There you need to make two settings in the place where SATA drives are managed. First is to Enable the SATA port you hooked up to, if it's not already. Then set its mode to IDE (or PATA) Emulation for the easiest way in Win XP. This has the mobo make the actual SATA drive appear to Windows to be a plain old IDE drive it understands, and it all works with no extra drivers. This may well be what you already have set on your C: boot drive. Save and Exit to store these new settings and boot up into Windows.
5. You must do two things to the new HDD before Windows can use it: Create a Partition on the disk that will be used as a drive, and then Format that new drive. These steps both can be done using the tools in Disk Management. Click on Start, then in the menu RIGHT-click on My computer and choose Manage. In the resulting window expand Storage if necessary and click on Disk Management. Disk Management shows you TWO panes on the right, each of them scrolling so you can see their full contents. A new disk will NOT be in the upper pane - it only has drives Windows already can use. It will be only in the LOWER RIGHT pane. It will have nothing but Unallocated Space. You RIGHT-click on that and choose to Create a Primary Partition, set its size, and decide whether it is bootable or not - in your case, I'm assuming not. If you only plan to use it to store and retrieve data, don't make it bootable. From here there are two routes depending on what the screen shows you. If there really are no other choices, you complete the Partition Creation step. When it's done you RIGHT-click on that new Partition and choose this time to Format it. Choose the NTFS File System unless you really know you need FAT32. Choose Quick Format (10 to 15 minutes) unless you want to let it do a thorough disk test that takes many hours! The other "route" I mentioned is that some systems will have given you a Wizard that combines setting Partition and Format options into one step instead of two. Anyway, when the Format is finished you exit out of Disk Manager, reboot, and start to use the drive.
The Partition and Format operations, alternatively, can be made even simpler if you download from the website of your disk maker their free utility that "prepares" or "initializes" a new HDD for Windows' use.