Under 'Settings' there should be an option 'Connect to PC'. From here you can change the connection type or get the phone to ask you each time it plugs in. (Apparently this is an HTC Sense specific setting(?) so not as relevant here). edit: an answer here has directions to the USB settings.
If it is still not working after changing the settings it may be worth trying another USB cable. Are you sure the cable is working ok? Does the phone indicate that it is charging when it is plugged in to the PC? The cable needs to be capable of data transfer (some will only supply power for charging). Also, the USB port needs to be USB 2.0, not 1.0 or 1.1
If you are sure the cable is working and the phone is still not recognised this might be a Windows problem perhaps. Try re-installing the device driver by 'uninstalling' the phone in Device Manager (see link below for details):
Info in answer from this post here