You should always remove the power cord and the battery when working with internal components on the laptop including drives, memory, modem, NIC, keyboard...
The battery provides the same current to the internal circuits that the external power cord does and you run a serious risk of shorting out and permanently damaging the system if you leave the battery in while making changes.
Having said that, try what LiLithTecH said and remove the DVD-ROM drive then plug in just the new hard drive with no other drives (no CD, DVD, Floppy, etc) and see if the computer is able to detect the drive. If so, turn it off and disconnect ALL power and plug in the DVD drive then turn it back on to see if the hard drive and DVD are detected. If they are, then install Windows and get it configured properly before reconnecting any additional drives you might have.
If it will not work with just the new hard drive plugged in, but does work normally with the old hard drive, then you likely either have a bad drive or have a drive that is not compatible with your laptop.