First, make sure that you have turned on the layer by checking the box next to it.
Second, make sure that there are no layers above it in the display box that are turned on. They may be covering the layer.
If none of the above applies, right click on the layer and go to ‘zoom to layer’. If this does not work, try hitting the world button to zoom all the way out. It may be that the layer you just added has a different coordinate system/projection from the rest of the data. You may want to open a new ArcMap project to make sure that you can view the layer.
If zooming out, or viewing the layer in a new ArcMap project does not work, your layer may be corrupt. If this happens, you should go back to the original source and get a new copy. If this layer is the original copy, then you may be in the unfortunate position of having to recreate the layer.