First, set the jumpers (if it is an IDE drive). Let's talk about this in more detail, because most people have IDE drives.
In the IDE system, most motherboards allow you to have two IDE cables. Each cable can connect to two drives. Usually you use one cable to connect one or two optical drives to your machine. The other cable is used to connect one or two hard drives to your machine.
You want both hard drives to be on the same cable. The two drives on the cable are called "master" and "slave." You want your existing hard drive (which contains the operating system and all of your current data) to be the "master" and the new hard drive to be the "slave." The drive should have instructions on them that tell you how to set the jumpers for master and slave. So read the instructions and set the jumpers. If you are using SATA drives, you do not need to set jumpers for master and slave because each drive gets its own cable. Check out How IDE Controllers Work to learn more about the master and slave configuration.