Did you remember to activate USB debugging?
To activate it, open settings -> about device(can be about phone or about tablet) -> tap "Build number" a few times until a toast comes up that says "You are now a developer".
You will get toasts saying "You are now X steps away from being a developer".
WHen it reaches 0, you will not see that message, you will see "You are now a developer" and can access the developer settings.
From there, go into the developer settings, find and activate USB debugging.
-- ALSO SEE --
this
this(youtube)
UPDATE
If you have activated USB debugging AND it still doesn't show up, see if the drivers are installed. When I got my S6 and tried to connect it, it wouldn't show up anywhere. For me, the solution was to open WIndows Update and download the driver that now showed up there.
Also see this