Using USB? There could be not enough power to the HDD.
Also, if you are using it for the first time, Windows will need to
detect and install it. At your taskbar, Windows will prompt new
hardware detected and is installing it. Let the installation
continue. After a while it should prompt installation is completed
and you can use it.
If the external HDD has a CD, please use the CD to install any
required files by the HDD.