If you install Windows with componants in the pc that it has no included drivers for - it often ignores them!
Remove them and Start up. Shut down again, plug the device in. It should find it on the next start. If not, try a different pci slot or usb socket.
The new M-audio Delta driver (.46 and later) can be installed BEFORE you fit the card, as it simply puts the files in Windows driver cache so the new hardware wizard should automatically install if you let it.
USB audio and midi interfaces often need you to let Windows install its own basic driver, and then you use the update driver process to install the makers driver. Check any readme files with the driver or other install info for the correct procedure.
Sometimes you should install a USB driver BEFORE plugging in. In this case, if the device was already plugged in, it will not install!