File Explorer and the earlier Windows Explorer use the backslash \ in describing the path name while the Internet addresses use the forward slash /.
The sound only indicates something has been plugged in such as an External USB drive, a Portable USB drive or other USB device. If a drive won't show in File Explorer look in Disk Management, if shown there it usually means it doesn't have a drive letter assigned which should occur after a drive is partitioned then formatted. Once that occurs a drive letter can be assigned from any that are listed as available.
In the Notification Area there usually is an icon for Safely Remove device, the USB case/adapter may show there instead of the actual drive.