It depends if the Windows disk says "recovery" or "install" disk, obviously if its install then yes it will install on a new HDD, however the licensee may be invalid, this is an easy fix though just call up Microsoft explain what happened "my HDD crashed and you need to install Windows agian with the same key" most of the time their pretty understanding. But since its been a week you probably already have the new disc and drive by now lol.

I bought a new hard drive off newegg. http://www.newegg.com/Product/Product.aspx?Item=N82E16822145527 I can't do anything with my "current" HDD, the messed up one, I need to format it but I can't do that through my linux distro (Knoppix 7.0) since my HDD is NTSF file format. So I figured I would hook up my new hdd and format the other one through that. I dont have enough SATA cables yet, (I ordered some, should be here in a week or so) so I can't connect both CD/DVD drives and both HDDs. I decided I am just going to connect one CD/DVD drive and my new HDD for simplicity's sake.

Well, upon boot up, it is really slow, which I don't understand, it's the SAME speed (7200 RPM) as my other one, and it makes this "SHHH - SH SH SH SH" sound its a long SHHH then 4 short SH SH SH SH sounds. I don't know if this is normal or not. It just seems really odd the same speed of HDDs are INCREDIBLY different in speeds of how long it takes to boot up. I'm not even sure if it's the HDD booting up thats making it so slow, seeing as I get the following error when it finally gets the black screen:

Intel (R) Boot Agent GE V 1.3.22
Copyright (c) 1997-2008, Intel Corporation

PXE-E61: Media test failure, check cable
PXE-M0F: Exiting Intel Boot Agent

My sata cables are secure, I've even tried switching them out with each other, and I get the same error. I don't know if this is an error for the CD/DVD drive or the HDD, I'm thinking the HDD, but I think I've seen that error before dealing with plugging up a CD/DVD drive.

I know it's the HDD for sure. The new HDD is not recognized in the Bios, but the Cd/DVD drive is no matter which sata port I use it is still recognized. I've moved them around several times to different sata ports, and the HDD is never recognized. There's a Molex/Legacy port in the HDD but there's a warning stating not to connect both the Sata and Legacy ports together. Should I try to connect through that port instead of the Sata?

All that error means is that your system failed to recognize an OS on the HDD so it went to try and boot off your network port, but since im assuming you dont have any server serving up boot files, that failed too. So you have hooked up the new HDD and CD/DVD drive and booted from the installation CD that you have right? From reading your post its sounds like you didnt put any Operating System on your new HDD.

The drive not being recognized in the Bios is because of that error, too? I have not attempted to put any OS on the drive. I thought that I was supposed to get a "OS not installed" message instead of a "cable" error.

Try installing an OS on it, if you still dont see the drive when trying to install the OS then i would recommend clearing the CMOS. And honestly man your causing yourself a lot of frustration, Ill tell you what my A+ hardware teacher used to say all the time, KISS - Keep It Simple Stupid.

So just to be clear, Hook up your new HDD and your CD/DVD drive, then power on your machine while hitting whatever key on the keyboard that let you get into the boot menu, usually f12, Open the CD/DVD drive, Insert OS CD/DVD, Close CD/DVD drive, Select CD-Rom from the boot menu, follow the install instructions. AFTER you have the OS installed and running then go ahead a hook the old HDD up and format it with Disk Management, assuming Windows is your OS.

With only my one HDD and both Cd/DVD drives connected, and the OS installation disk in the drive, I just get a "Boot Failure Press any key to continue" message that just repeats after every key press. CMOS has been cleared in the past, for this mobo so I don't know if it will change anything.

when you turn your computer on there should be some text along with an image. The text usually say "Press _____ to enter setup" whatever key is in the blank, press it. Once in the setup/bios change the boot order to one of the CD rom drives. Save the changes then exit BIOS/setup. Computer should boot from install DVD/CD allowing, hopefully, the installation of the OS.

Boot order is already set for Cd/DVD drive - Hard Disk - Floppy - Removeable

Well it appears we've wondered into a quagmire. Assuming that all hardware is good then the only thing i could think of is that the Disc may be damaged, You can test this if you have a spare blank CD lying around burn a free gnu/linux distro image onto it, and try installing/booting from that.

I can boot Knoppix 7.0/Linux, could I install Windows through Linux? but since that BIOS issue with the HDD do you think it could be damaged? It was a cheap refurb after all.

you can format with knoppix but sounds like your hdd may be a dud,
from a terminal as issue
sudo lshw -C disk -short >> devices
please post the generated devices file

I'm not real sure what I'm supposed to do. Is that like a command prompt thing? What is sudo Ishw

sudo - its a way of running a single command with root privileges
similar to su (switch user)