Oh right, it's an external DVD burner.
You don't need to install any software for it to work, the software that comes with it is just a 3rd party cd/dvd writing application (nero burning rom, the activation key is normally one the paper sleeve for the CD BTW)
Open my computer and you should be able to see an icon in there for the drive when it's plugged in, if you can then it's working, you can always check by just pulling the USB lead out, the drive icon should disappear and it'll reappear again if you plug the lead back in.
If the icon doesn't appear remove the USB lead and then follow the instructions from my first post to open the device manager and once the device manager is open plug the USB lead in and you should see an extra device appear, if it does and it's got either a red cross or a yellow exlaimation mark there is a problem with the device, double click on it and you should see an error message, if you do what's the error?