First thing is to check the manufacturer's site to see if it is compatible with Linux (or at least not known to be incompatible). If there is nothing useful there...
There could be something wrong with the file system on the drive? If there is data on it you need, plug it into a machine it works on (Windows/Mac) and back up the data. Then reformat it as FAT16 or FAT32 and try it again.
If there is nothing on it you need, run gparted (the Gnome Partition Editor) and see if it can find the drive. If it can, then you could try to reformat (or even repartition) the drive from there.
If it still won't work in Linux it could just be incompatible. I know this USB mass storage stuff is supposed to be standard, but it isn't always the case, unfortunately.
I actually had an internal drive that didn't get along with Linux until I zero-filled the drive before repartitioning it. Just partitioning and formatting the drive was not enough. I had to use a disk utility to completely erase the drive by writing zeros to the entire drive first (which completely wipes the drive clean, erasing any previous data, partition table, boot sectors, etc.). After zero filling the drive I was able to partition and format the drive for use in Linux.