I know the CD said no drivers were needed for Win XP but if there are some there - try them anyway!
I was reading this review on a IDE to USB cable:
http://www.dansdata.com/usbadapt.htm . Seems they also had a problem although their's was sorted out by booting up with the USB plugged in then once the PC was booted, removed the lead, plugged it back in and then XP found the device.
Also, have you checked that Device Manager to see if there is any unknown devices in there that may related to this hard drive/adapter combo?