My hard drive is nearly full, so I added an...

Yes and no.
If you want to use the new harddrive to store your documents and stuff like that then you can just move the documents over and start using them.
(to move the special "My Documents" folder and optionally all the files in it, right-click on MY DOCUMENTS, select PROPERTIES, and then choose "MOVE" on the "TARGET" tab)
If, however, you want to move particular programs to your new drive then you need to uninstall them from their current location and then re-install them on the new drive (probably via the "Custom" install option when you run the SETUP)
Be warned that some programs will insist on installing certain files in your Windows folders on your boot drive, which you don't normally have control over.
Sometimes the best things to install on the new drive are games - a) they generally don't install stuff in Windows folders and b) a lot of the newer games take up a lot of harddisk space so this will be a quick-win way of getting some space back on your boot drive.