Hmmm.. If you look from the VM side you can use your external drive as removable USB storage connected via USB bus or as physical drive connected via IDE bus (VM will see it as IDE drive inside it). To connect it as USB you should rightclick to usb icon in Parallels status bar and select your external drive there. After that is should disappear from Mac side and Windows should see it inside VM.
Connection as a physical drive is more difficult and described in other thread, which i linked before. In that case VM will take your drive from Mac at start and it will be shown inside as an IDE drive.
If you connecting USB drive to VM, do not forget to close all Mac applications that use that USB drive before connecting it t VM. Opened applications may prevent unmounting drive from Mac side. And about filesystems too, as i pointed before.