I am assuming the new drive is on the same cable as the older 40gig one, and not on the same cable as your CDrom, as that is what your post implies.
The new drive could be defective, unlikely, but by no means impossable.
Is the old drive ATA66, and the new drive ATA100? if so the new drive will only run at the slower ATA66 speed. If the new disk is on the same cable as a CD/dvd it will probably be running at ATA33 speed. Perhaps you accidently put in on the wrong cable. EAsy enough to do considering the amount of wiring inside many PC's.
otherwise this is really just a bump.