Installing wd 750gb ext hdd. I have followed the very basic instructions but nothing went as said!

Question

I have followed the very basic instructions but nothing went as said! The power is connected to the hdd unit and the usb cable too. The circled lights are on. However, my computer does nothing when it is pluged into my computer...n search for new hardware, or anything as usual. I even tried looking in the control pannel for setting up new hardware. I have a Sony Vaio VGN-AX570G (not quite 3 yrs. and am operating under Win. XP professional... The quick installation guide says there should be auto setup and menue with software options offered when the installation is complete. HELP!!! I desperately need to backup my entire hdd ASAP. Lisa