Your new hard drive likely is not formatted yet. so here's how to do that.
Put your OS X installer DVD in the drive, and start your Mac while holding the C key on your keyboard. That will boot your Mac to that installer disk. Start the installer, until you see the screen where you will choose your drive.
Now, choose Disk Utility from the Utilities menu.
Your new hard drive should show in the left column, so select that, then choose the Erase tab. Make sure the volume format is MacOS Extended (journaled), and name your drive, if you like. Click the Erase button. That process should only take a few seconds. Now, quit Disk Utility, and select your hard drive in that same screen , then click on the Options button, choose Erase and Install. Click continue, and continue with the OS X install. When that completes (about 30-60 minutes), your Mac will restart, and you can set that OS X system with a new user account on that system. Easy, most of the time is just waiting for the install.