Are you expecting it to show up as a drive letter? That won't happen automatically, at least it didn't for me. Look in the Network section of File Explorer and the device should be listed there. It will likely have a cryptic name, for example mine is TS-HTGL45. Expand that and you will likely see 2 or more folders. In my case one is named "info" and that's stuff the server uses to run--don't mess with it! The other is named "share" and that's where your data will go. Right-click and select Map Network Drive and follow the steps to assign a drive letter.
This is how my server works. Yours may be different, of course.