Whats the deal with my DVD+RW???

When I put a game, cd, or movie in the dvd+rw drive, nothing happens. No pop-up window to tell me what to do next or anything. In my computer file, I have the E:, F:, G:, and H: removable disk icons, and a C: local disk. But nothing the says DVD+RW disk. And I only have one place to put a disk. I've tried the SETUP.EXE with and without the E, F, G, etc. in front ot that, and still, nothing. please help if you can, or do I need to take it back to the shop?