External Hard Driver for PC and Mac?

I have a PC, my friend has a MAC. We both have WD (Western Digital) External HDD's. Connection is USB 2.0. Mine is 1TB and my friends is 1.5TB. Today we wanted to swap some files. So we swapped HDD's. My HDD came up on his MAC and he could take the files he wanted, but he couldn't add any. On his MAC my HDD was showing READ ONLY. So I plugged it back into mine and checked the settings, all boxes where check for read and write etc etc. Tired it again same thing.

So I said I'll just put your HDD on my PC, I plugged it in. It made the sound when you connect via USB. *ding ding* But then nothing. Nothing shows up in My Computer, but I have an icon in my system tray to safely remove the device. So I can't even see it on my laptop :S

Help....?