You can connect/disconnect USB peripherals to the running Virtual Machine If the USB controller is enabled in the Virtual Machine configuration. Please save your work in Guest OS and shut down Guest OS before continuing. When your guest OS is switched off please open Configuration Editor and make sure that USB Controller Status in Configuration Editor is enabled. If there are no USB controller please press the "Add" button in the Configuration Editor, click "Next", select "USB controller", click "Next" and then "Finish". Then please click "OK" in the Configuration Editor to save changes. After that click "Power On" (or Play) button to start Guest OS.
Note that only two USB devices can be used by Virtual Machine simultaneously.
Parallels Desktop automatically detects all the USB devices connected to your host computer and displays them under the Devices/USB menu item and in the context menu for the USB controller in the status bar. Those devices that are currently connected to the Virtual Machine are checked. Primary OS can not access an USB device while it is used by the Virtual Machine.
Also you need to check properties in Windows. Please open "My Computer": >control panel, >Administrative tools, >services. In the list of services is "removable memory" --- activate it and the computer now recognizes your removable storage devices.
But also you can connect your external HDD to Windows OS via Shared folder.Please read attached manual in order to connect your external USB HDD.How to connect Firewire Hard drive