It only appears under Human interface devices after its unlocked by the PIN and the Bitcoin wallet selected (on the ledger device).
For me, it appears after it is connected and unlocked. No application on the nano s has to be opened (at least with my setup).
@OP: It may also appear under USB-controller. Does something appear ANYWHERE when you plug in / unlock your nano s ?
Do you hear the windows sound (the sound you always here when plugging in a USB device) ?