Hi john,
Before you backup your SAP database to an external HDD, I would like to remind you that this activity will be logged and it might be a problem when your systems are audited and it is found that you are not authorized to do so. So please be careful with what you are doing and make sure that you get proper permission from the business if you intend to take a backup of SAP data to an external device.
Now that said, first of all your external HDD must be connected directly to the SQL Server that hosts your SAP database. You cannot (and should not) connect the HDD to your desktop and try to take a backup there. SQL Server needs to see the external HDD as a local disk drive.
Once you do this, you log in to SQL Server with the SQL Server Management Studio application -- and I assume that you have SQL Server System Administrator rights -- and expand the "Databases" branch, right-click on the database name you would like to back up (most likely the same name as your 3-character SID name of SAP), choose Tasks-->Backup, and then in the "Destination" field of the pop-up screen choose your external HDD as the backup device. Click on OK a couple times and the backup will start right away.
I hope this helps.
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