Do you have to setup a disk drive connected to a macbook or should it just work straight away when plugged in?
It should work straight away. In some cases, the drive may need to be reformatted.
I've plugged it in with its USB and inserted the disk, and it just keeps spitting it back out? Should the finder show that the disk drive is there?
The Finder shouldn't show an empty optical drive. If the disk gets automatically ejected, there may be problems with the drive, or you may be inserting a blank CD or DVD into a drive incapable of burning it.
Retrieving data ...