I'm not familiar with the model or brand - but there are basically two types of microphone - USB and standard audio. If you're not familiar with the difference - its in the plug - USB is a large flat plug and standard audio plugs are very thin and round.
The USB-type microphones must be run off drivers - you should have received a driver CD/disk with your microphone if this is the case. Once the drivers are installed you should be able to test it - the drivers will probably install a small program that will allow you to do this. Chances are it will be set to auto-load with your computer, and will reside as an icon in the system tray.
The standard audio style microphones require no driver - but they do require a microphone-in plug on a sound card (or inbuilt sound if it came with your motherboard). You just have to plug it into the right port (the one labelled 'mic' or perhaps with a picture of a microphone) and it will work. Open the volume control (Control Panels->Sound) and check that your input volume for the microphone is high, and that it isn't muted.
If you're not sure what to do, or still have problems please post back with details of:
Your operating system
The type of microphone
The exact nature of the problem
Any programs you have used to test it
Any info that came with the microphone (particularly websites of the manufacturer, any driver information etc).