You have probably bought a new drive that is not formatted.
If this is the case, Windows XP will not assign a drive letter to it, and therefore it will not appear in My Computer.
To see if this is the case, go to Disk Management (this can be accessed via Start->Control Panel->Administrative Tools->Computer Management. Then choose disk management under storage.
Check to see if you see a disk that matches your Hard drive - be VERY careful not to make changes to the wrong disk as you can lose everything!!!
If you have an Unallocated disk, then you need to create a partition and format. Once this is done, you can assign a drive letter and start using.
If you don't see a new drive under Disk Management, I'd suggest returning it to the person you bought it from as well
Hope this helps
Barry, May 2008