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- You have an outdated or buggy driver - get an update from the manufacturer.
- You're using Windows 2000 or Windows XP, but the device isn't supported in a Windows NT environment (yet). My advice: toss it, because most companies is unlikly to add NT support for their older products.
- Is it a USB device? You need at least Windows 95 OSR2 (not the original release of Win95) to support USB. What's more, most USB devices require at least Windows 98 to work.
- Investigate device manager for any hardware conflicts.
- Lastly, make sure it's plugged-in / turned-on / connected properly. RTFM! :)