First, make sure you have the 'back' for the PowerCD. In spite of its slim portable appearance, it requires the big 'wedge' back in order to work as a SCSI device. (Oddly, you need the wedge for battery power or as a SCSI device, but you can run it without the wedge for audio/video if you plug it into wall power.)
Assuming you have the wedge, you then make sure that the SCSI ID (set on the wedge,) is not the same as any other SCSI devices (if all you have is a single internal hard drive, then the only two already taken are likely 0 and 7 for the hard drive and computer, respectively.) Then you plug in the SCSI device cable (the big 'Centronics' plug on the PowerCD, the smaller DB-25 on the computer.) Then you turn on the PowerCD first, then the computer. As long as the computer is on, do *NOT* turn off the PowerCD. It should always be on before the computer, and stay on until after the computer is off.
Once you have the hardware parts down, you need the software slomacuser links to. (Even in later MacOSes, the PowerCD needs its own driver.)
Also, the PowerCD is a 1x CD-ROM drive. That's right, not even 2x. A measly 150 KB/s. Lots of early CD-ROM games required at least a 2x CD-ROM drive, and may not play on the PowerCD. But if you're plugging it into an SE or Classic, you're probably not going to be playing any CD-ROM games.