You’re in Windows Explorer (or My Computer), right? Up at the top of the screen in the left-hand corner you should see:
File Edit View Favorites Tools Help
Click on the Edit; you get a drop-down menu with several choices (Cut, Copy, Paste, etc.). One of these should be Move to Folder…
Then just navigate to your external hard drive (and/or the folder you wish to transfer it to) and click OK.