You don't change drives with CD
, that's for Changing Directories.
To switch to another drive you just type C:
(for example) and hit enter. Or if you really want to use CD to switch directories AND drive you can use CD /D C:\
.
Also, if doing it one of these ways still doesn't work, ensure you have the driver loaded for you controller (AHCI, RAID or whatnot) so that setup can see the drive.