donkey - it sounds like one of two things:
1. Your CD-RW is not properly installed... Have you checked in Device Manager etc..., installed the correct drivers if applicable etc..? It should show up as available in Nero if it's there & working properly (alongside the image recorder - the sort of 'virtual' burner).
2. Your Nero was bundled with another burner & will not work with yours (casting no aspersions!!) If this is the case, it will tell you outright, I think!
If your burner just does not appear at all, I would suggest it's number 1 - check the physical installation & reboot etc..
If the burner shows up, but has a sort of 'ghostbusters' sign on it, then it could be number 2. Someone unscrupulous might upgrade & unlock the bundled copy with a serial from the web.
Did Nero come bundled with your new burner? is it an OEM copy?
If this doesn't help, post again with more specific details and someone else might be able to sort it out for you!
(PS. If it looks like the burner is properly installed, and you're running XP, you could try burning a data disc with XP or something like that to test that the burner's actually working.)
cheers,