The drives should appear automaticly, normally to install a new drive you should click on "Options" then "Install Disk Drive". To do this you must highlight one of the other drive icons before hand (which you can't do).
The Mega should have come with a hard disk, can you hear it spin up when you switch it on??? (when switching on you may hear whirring and clicking inside along with a flashing LED on the front)
I think the problem is that the drive is not spining up, it could be dead or simply have no power to it. I get no icons on my ST (sometimes) when I do not switch the hardisk on.
RE: new user - where to start? 
