(I have seen it :))
As Chuck says, it's probably a format issue. Different systems use different formats. Microsoft XP and Vista default to NTFS, which is Microsoft's proprietary system, and you need to license the technology to use it. Because of this, Apple doesn't support it. Apple themselves default to using their own system, HFS+. Unsurprisingly, Microsoft doesn't support this.
FAT32, as Chuck says, is an older Microsoft format that everyone supports now. It works with Windows, Mac OS X, and Linux easily. (Linux has its share of formats that neither Microsoft nor Apple support!)
However, Mac OS X should be able to at least read the NTFS volume (if it is that). If no icon is showing on the desktop for the drive, there may be another issue. Make sure the drive is connected to the power, and directly to the computer with USB (not through hub for example).
If you want full read/write access, there are two methods. The pay for method, or the (slightly more complicated) free method.
pay for:
http://www.paragon-software.com/home/ntfs-mac/
free:
Download MacFUSE, macntfs-3g, and MacFusion.
http://code.google.com/p/macfuse/downloads/lis t
http://macntfs-3g.blogspot.com/
http://www.macfusionapp.org/
Install them in that order (in the usual way --- hopefully just double click or drag to applications folder), then run MacFusion program to get the drive working.