No, you didn't do anything wrong.
It's supposed to just detect so you can see it in Windows Explorer.
First thing to do is wait a while. Sometimes antivirus won't let you access a removable disk until it scans it thoroughly. This is almost instantaneous with a small flash drive, but a larger spinning drive will take longer, especially if it's already full of files.
If it still won't detect, try a different USB port.
If that doesn't work, try rebooting the computer, wait until the boot is finished (hard drive light settles down), and try plugging in the USB drive again.
If it still doesn't detect, try running diskmgmt.msc from Start\Run (XP) or the Start Search (Win7) as described on one of these websites:https://www.makeuseof.com/tag/external-drive-not-recognized-this-is-how-to-fix-it-in-windows/https://www.online-tech-tips.com/computer-tips/external-hard-drive-not-recognized/