gbgguy,
Are you sure the removable drive you're clicking is not your CD-ROM drive (or another already existing, but empty, drive) and the Hero drive isn't showing up due to Window's stupidity in assigning duplicate Drive Letters? This happens to me frequently with USB devices since I have several networked drives.
Right click My Computer -> Manage -> Storage -> Disk Management
Look in the right, lower panel and see if your Hero is showing up with a Drive Letter duplicated by an already existing drive. If it is, right click the Hero, choose "Change Drive Letter & Paths..." and choose a free drive letter. You'll get a popup asking if you're sure you want to do that. Just confirm again you're picking an unused drive letter. Should pop up in My Computer then.
If that's not your issue, I'm not sure what else.