Did you go into the bios and select the HD first?
New hard drives need to be prepared before they will work. You will need to configure it and set the CMOS. When you turn the system on, immediately hit the Hot Key sequence necessary to enter CMOS setup. A lot of times, this is Delete. Go to the section on IDE auto-detection, if your BIOS has this option. Follow the prompt under this section and it will auto-detect the drive. If your BIOS does not support this, then you will need to manually plug the necessary information into setup for the drive. When this is done, exit CMOS and save your changes. The system will reboot.