You have to restore a full database backup before restoring a differential.
Restore a full database backup using WITH NORECOVERY i.e.
RESTORE DATABASE mydb FROM mydbbackup_bak WITH NORECOVERY
Then restore the differntial backup using WITH RECOVERY i.e.
RESTORE DATABASE mydb FROM mydbbackup_diff WITH RECOVERY
This assumes that your full backup and differential backup on on different backup devices. See "Differential Database Backups" in Books OnLine.
Greg