dual boot

If you have a computer that is already running Windows, great. Or if you want to dual boot two different Linux's..  Make sure you have room on your drive from both OS's. If you are starting fresh, format your drive into two partitions. if you already have Windows installed, then shrink your drive to free up some space ( google that). Install Windows first, if it's an empty drive. Go through the whole process, putting it on the first partition. Make sure it boots correctly several times... then install the Linux of your choice on the second partition. When done.. a boot menu will be available..

I've never seen that happen, but sometimes it can be tricky...  use a product like partition magic to put a file system on that partition first , then try the install.

What does the system identify that external drive as? Drive 0, 1, 2, etc. You'll need to know how the system sees it to be able to point the installation to the correct partition. 

When you run the install, don't let it automatically pick the location, choose a custom install or whatever the option is to let you choose where Linux will be installed. You can format your USB drive to NTFS or FAT if you want Windows to be able to see it ( for data copies, etc) When the install finishes, GRUB boot manager should find both OS's and create a boot menu to let you choose your OS at boot time.