I assume you're running XP and the printer is connected with a USB cable?
New printers can be difficult. Did you install the printer software before plugging it into the computer?
Another option is to shut the computer off, connect the printer, and power the printer on. When you boot the computer, it should automatically install the correct printer driver. I've had issues with USB cables that had to be installed separately from the printer itself before it would recognize it (that was actually a scanner and not a printer).