Connecting MP3 players and PDAs can be a bit frought at first. One old Chestnut which has been discussed here in many threads, is USB itself. If, after (Go on - be a Chicken) following the instructions it can't be seen and you are connecting via a USB hub, then step one, is to plug directly into the USB port of the PC and see if that helps. Often, it does.
Just think, you probably have the delights of Windows Media Player and its insistence on meaningless and iirrelevant playlists to fathom out.
Oh - if the driver software doesn't prompt you, it is a good idea to reboot after installation so that Windows can configure itself before marshalling its resources in tackling synchronisation.
Good luck!
Conan