I hadn't set the volume label. How can
I change this?
You can use the 'label' command prompt in Windows (as explained by Wil) or simply right click on the volume and choose Rename, or Properties, highlight the label, edit it and Apply.
I have tested this in Vista and 7 with an external hard disk and a USB flash drive. The settings will stick after a reboot and the drives work with Linux (PCLOS in my case).
However in Windows XP (lacking UDF support), the drives will be detected fine and files are be readable but I cannot write to them or rename the volume label. Using UDF on a removable drive is of rather limited use (perhaps the Toshiba UDF 2.5 driver will fix the issue, but I haven't tried).
For your particular case, there might be a problem with the hard disk or the enclosure.
If you want to format a drive in Windows using the UDF file system with a label, the correct syntax is:
format x: /fs:udf /v:your_label
Do not use the quick format option.