You don't need to run software update. An external USB DVD drive will not show up on the desktop until you put a CD or DVD in it. You're running Mac OS X not Windows.
But wouldn't it show up in disk utility or under USB devices?
When I connect to my USB nothing happens.
Yes it would but that's not what he said....
Usually that means it's not showing up on the desktop - which it won't until you put a disk in it. Same thing happens with a USB floppy drive. The drive doesn't show up on the desktop until you place a floppy in it to read.
I guess I just assumed when the OP said "Nothing happens" they would've checked to see if the drive was showing up in disk utility. My mistake..