It's connected by Firewire. Also, how do I get to the boot menu on my mac. Everytime I turn it on, the screen goes white, then goes to a blue screen with a folder with the Finder logo in it, changing with a question mark.
You can boot from a FireWire drive as long as it has a full install of OSX on it. You should just have to hold down option on start to get the boot menu.
There are some external firewire drives that do not support booting a mac. I ran into this with a budget case that I threw a drive into. The packaging said "mac support", but it didn't mean bootable. If you want to make your own, OtherWorld computing has nice cases, good support, and flawless performance.
Most major brands support booting. It seems to be the cheap, off brands that don't.
You can also try mounting the drive, then going into System Prefs > Startup Disk. If the external shows up as an option, select it and restart. If it doesn't, then it's the drive (either unsupported or not working).
If Disk Utility won't recognize the drive, and you just bought it, then yeah, I'd return it. There are probably things you could do (like repair it with Disk Warrior or something), but if the drive is new, you shouldn't have to be repairing it already.