If the drive is showing here, but not on the OS X desktop, then click First Aid to try and repair the drive. If not, go to Disk Utility and check to see if it appears under the heading External. On Macs, the drive should automatically appear on the desktop.
If the drive is showing, but you’re getting messages about the drive needing to be formatted, etc., then read the next section below.
Pick a letter for your drive and you should be good to go.