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Is this a new hard disk (never used before) or one that was working before and now suddenly no longer allows new files to be written to it?
Before you can use a new internal hard disk for the first time, it needs to be partitioned and formatted. In Windows XP, you can set up a partition by going into start, right-click on "My Computer", select "Manage", go into Disk Management on the window that appears. THe new hard disk will appear in the above right. Right-click on this and select "Create partition" and follow the steps to how you want it set up.
If it's an existing hard disk, try running chkdsk on the drive.