What application are you using? The Windows XP built in backup utility will let you choose the location. Does the external hard drive have it’s own drive letter?
If it is not assigned a drive letter it will not back it up to it. Try assign it one if it doesn’t have one thru Computer Management Console.
Every data backup procedure always provides you an option to browse for the exact location where you can specify the location of your back up data like your external hard drive. Feel free to navigate and look for that browse button.