When you plug an external drive into a Mac it appears as a mounted volume in the Finder. Look down the left hand column of the Finder window, under devices. If you watch this window before connecting the drive you will see the volume name appear when you plug it in. There should be an arrow next to the volume name, for ejecting the drive. The drive should also appear on the desktop as an icon. In Windows you may be used to a dialog box appearing when you connect something, asking you what you want to do with the files etc. There is no such fanfare with OS X, and it's easy to miss the drive connecting if you don't know what you should be looking for.
If your drive does not appear in the Finder then you need to look in Disk Utility. It's in your Utilities folder (Shortcut ⌘-shift-U from Finder). Every drive that is connected to the Mac is shown in Disk Utility, starting with the physical drive on which your MacintoshHD volume is located. Disk Utility shows the physical drives, and all the formatted volumes (In windows-speak you could have a C
and D
drive formatted on a single hard disk, for example).
OS X can read FAT32 and NTFS (Windows formats) so if the drive is not showing up then you've got a problem.
Simply copying PC to Mac is straightforward, but bear in mind that if the drive is NTFS formatted then you will not be able to save stuff on it from the Mac. Also, if you reformat the drive to a Mac file system then Windows will not be able to read it.
What kind of drive is it?