Congratulations on your new dSLR. I shoot Canon, so it's my job to tell you that you should have bought Canon!
Now that I've got that out of my system
...
NEF files aren't normally recognized by Windows. As you probably already know, RAW files in general are proprietary formats, so Windows won't normally go out of its way to figure out how to read RAW or NEF files. Canon's RAW files (CR2 files) are treated exactly the same way by Windows.
You probably need to download a codec file, which allows Windows to read NEF files and display NEF images. Here's the link to Nikon's Web site to download the necessary codec file:
http://nikonimglib.com/nefcodec/
Afterwards, you should be able to view your NEF images in the File > Open window.
One of the most popular programs to view, organize, and develop your RAW images is
Adobe Lightroom. Version 3 is currently in its 2nd beta, so you can try it out for free until June 30, 2010. Here's the link for more information and to download Lightroom 3, beta 2:
http://labs.adobe.com/technologies/lightroom3/
Other popular RAW programs include Apple's Aperture (only available for the Mac) and Bibble.
Hope that helps.