Now right click again and create a new partition. At any rate, you should be able to right-click on that area and delete the existing partition if any ('Delete Volume'). You may see 'RAW' (the PC does not know what to make of the drive), 'Unknown Partition' (Windows does not recognise the partition type) or something else. If it is listed, the partitions that make up the drive will be shown on the right. If it is not shown, there's a problem in the physical (hardware) communication between the computer and the hard drive - perhaps your PC's USB drive does not produce enough power to power it. Your WD drive should be listed below that (but above DVD drives etc, if you have any).
Disk 0 is usually your system drive, and if you have any other internal drives they will be listed below it. The bottom half of the window shows you physical drives (as distinct from 'drive letters' as seen in 'My Computer' etc).
Run Windows Disk Management (if you are using Windows Vista or later, you can search for it by this name if using XP, type compmgmt.msc in the Run menu).