Is this a brand new hard drive? My guess is that it's formatted as NTFS (a windows-only partition format that mac can't write to).
If you don't have anything in the hard drive, open up disk utility (Macintosh HD --> Applications --> Utilities --> Disk Utility) and then erase the hard drive and format as one of the two options:
If you plan on using on windows and mac, format as MS-DOS (FAT).
If you plan on using on mac only, format as Mac OS X Extended (Journaled)