does it say it's set up ok in the device manager? no yellow exclamation marks or anything?
right click on the driv ein the device manager and click "uninstall" then reboot this may not help, but it certainly can't hurt.
if it's a brand new drive i wouldn't spend TOO much time troubleshooting it if you can just get another one under warranty. if the second one acts up then you know the problem has to be on your end though.
maybe someone else will have other recommendations, but normally when it's a new install it's a jumper/connection problem or the drive didn't install itself correctly.
just to double check, do you have an 80 or a 40 wire IDE cable?
it might be worth trying to stick the benQ as master and the dvd rom as slave just to see if that makes a difference, but like i said, i wouldn't go crazy since it SHOULD work if you connected everything correctly. optical drives don't require drivers or anything (as long as you have XP and you said you just got the latest updates, so yeah...)