Sounds like the drive isn't configured right, damaged, not installed right, or its some sort of fluke. Try physically reinstalling it, ensuring any jumpers are correctly set (most likely slave or cable select would suit you). If you have any questions on this, go ahead and give us your setup and hardware information (model number of your hdds and whatever hardware you can) and we should be able to help you. (Like is the drive PATA or SATA? Its your second drive in your system, right? Or are you replacing your C: drive? Those sorts of things

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Another possibility is that it is a bad drive. Its actually not that uncommon to receive a drive DOA (Dead on Arrival). I think it has something to do with how incredibly complicated and small the components are becoming, but its just a hunch. Since you presumably just purchased this drive, try returning it to the store or contacting the manufacturer for a replacement if you're still having trouble.
When dealing with your drive, make sure to ground yourself! Use an antistatic strap or antistatic gloves, or at the bare minimum, touch a metal part of your computer case for a few seconds. Don't work on carpet, and unplug your computer unless you can cut the power to your outlet, then you can leave it plugged in so its grounded better. Oh, and a common mistake- that I've made a lot- don't put hardware on the outside of antistatic bags unless you touch the bag to your computer case (or other grounded metal) for 10-15 seconds, because electricity builds up on it.
Just a few pointers, you've probably heard them countless times, but it doesn't hurt to reiterate.
Get back to us with an update!
--The Comodore