First, assuming you have loaded the driver, you need to make sure it's running. Start/Programs/3Dconnexion/3Dconnexion3DXware/Start Driver
Once the driver is running (there should be an icon in your tool tray) make sure you have the add-in activated in SolidWorks.
Also, if you have the 5000 USB, you might need to download the 3DxOffice Plug-in. On the page that smcadman gave you the link for, select your product, then 'Archive (Legacy Software), then 3DxOffice Plug-in.
Hope this helps.
Jeff Mirisola, CSWP
CAD Administrator
SW '07 SP2.0, Dell M90, Intel 2 Duo Core, 2GB RAM, nVidia 2500M