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Is this a WD drive? Did you run the CD that came with your new HD? Did you check your BIOS and make sure it can handle 250GB drives. If it can't , then you need to run FDISK or some sort of partition software to split the drive into two. So you would start off with 250 split into 125MB D:\, 125MB E:\.
Or you just do the samething using Windows XP Pro Computer Management.
Click on start
click on run
type: compmgmt.msc
scroll down to storage
click on disk management
On your right panel you should see your new HD listed.
Right click on the white shaded with black slanted lines for your drive listed
you should see format
Click on format..
Select a name for your drive (volume)
Example: DATA, SYSTEM an etc..
I would leave the rest to for Windows to setup...