By "caddy" do you mean an external drive enclosure?
If so, does it have its own power supply and can you see lights / leds on or flickering to indicate that power is reaching the enclosure?
AFAIK, I'm not a Vista expert TG, you may need to set jumpers at the back of the 2.5" HDD itself to indicate to the system BIOS that this is a "slave"drive. There should be a label on the drive itself to tell you how to do this (these settings are not generic and vary from manufacturer to manufacturer, but they will be listed on the manufacturer's website).