You Haven't specified if this is a generic mouse which can be driven with the built in driver in Windows or is it a special mouse with special functions which require a special driver.
If you bought it in store you should have received a disk with drivers. You should first install the drivers and then connect the mouse.
If you don't have the driver disk, search for it on the web. Most serious manufacturers have the drivers on the web sites for download. If not, you can google for it.
If all fails, the mouse should work, but with limited functionality.