I found that it wouldn't show up until I went in and enabled the SQL Server Browser. It was disabled by default.
You can do this by navigating to Start -> All Programs -> Microsoft SQL Server 2008 R2 -> Configuration Tools -> Sql Server Configuration Manager.
On the left hand side you will see SQL Server Services. Click that and on the right hand side you will now see SQL Server Browser. Right Click -> Properties -> Advanced. Change it from Advanced to Automatic.
Refresh Microsoft SQL Server Management Studio or the Application you are trying to connect to. It should now be listed.