When you do a fresh install of windows, were it says press F6 to install third party RAID drivers, you (probably) need to do that and then follow instructions. (after you press F6 or w/e it is, it will continue to load stuff as normal, the drivers screen comes eventually).
If you are adding on to an existing install of windows, it's not exactly plug and play (unless windows already knows your sata/raid drivers), you would probably turn off computer, install drive, turn back on computer, have windows boot up as normal and it will probably say it detected new hardware but it can't see it yet. So then just insert floppy then just do that old auto install drivers or pick the floppy drive or directory with the drivers in them for a custom driver install (i think thats install drivers myself option).
Real world performence difference? There really isn't any at all, unless you count features like NCQ, then SATA might be a little faster, but regular ATA133 drives don't even max that out yet, let alone sata300.
-dragonx