I would also recommend checking the physical connection between the drive itself and the motherboard. I presume it's a SATA cable, so make sure both ends are put in correctly and firmly.
Then, make sure the OS can properly detect the drive. To do that, simply follow Shine's advice.
Keep us posted.
Sounds like your CD drive doesn't have any drivers installed. Did you get a installation disk with your new computer?
You could check device manager to see if there are any problems with your drive. Go to control panel/system and security/device manager. Look to see if there is anything in device manager with a yellow highlight.