how does this connect to the pc, is it via USB connection to a header on your motherboard, if so make sure you have got the connection block the right way around (also make sure you have hit all four pins, i couldnt get mine to work until i went back into the case and spotted i had missed one of the pins) easy thing to do as it was so fiddely in there.
on opening my computer, do you now have a few more drives in the removable drive section, i have now got 4 removable disks, since i got the thing connected properly.
if it connects via and external USB port then forget the above.
if your connection for the floppy is via the floppy cable then make sure its the right way around, if its wrong though the light normally stays on.
one last thing, check in the bios if the floppy drive is selected (1.44mb) sometimes it is set to NONE then as you can imagine, it wont work (but then it shouldnt be asking you to format either).