Sounds like the drive is formatted for a non-Mac native file system. If you were using it with a Windows machine, it's probably NTFS.
You can reformat the drive on your Mac by using Disk Utility (should be in the Applications/Utilities folder).
Macs use the HFS+ file system, called Mac OS Extended journaled, or something very similar, in Disk Utility.
Before you reformat your drive, be sure to backup anything you need on it, as the reformatting process will wipe the drive, erasing all of the data.
Will you still need too access the drive from a Windows PC? If so, then you'll need to format as FAT32 (MS-dos type file system), or partition the drive and format part of it as FAT32. Do note that there are some negatives that come with using a FAT32 file system.