On Windows: External drives just show up as additional drive letters and can be selected like local drives.
On Mac OS X: First, on the backup tab, click the button for showing hidden folders and files (along the top.) When this is enabled, you'll be able to go to the very top (root level) of the file system and see "/Volumes". External hard drives will be available for selection from there.
On Linux: External drives show up on the directory tree where they are mounted in the filesystem, typically under /run/media.