XP's My Computer will not see unformatted drives. Has to be formatted before it can be used for anything. Format allows XP to recognize, assign drive letter. Then it's officially recognized by XP
However, it should show up in Disk Management. As previously asked...is this a package deal or a hard drive you inserted into an enclosure?
You can format it in Disk Management, after which it will appear in My Computer/Explorer.
Only other reason for a drive not to appear in XP (and still be working properly) is if a partition/drive letter is already assigned that drive and there is already a drive attached to XP with the same letter.