It depends on how the drive is formatted. There are different file systems used on different hard drives, some which work with Macs, some which work with windows, and some which work with both.
You can check how your external drive is formatted by connecting it, and opening Disk Utility (in the utilities folder). If it is ExFAT or MS-DOS formatted, then it should work with both operating systems. If it is Mac OS X formatted it will only work with Macs.
If you have space on your internal drive to store whatever's on your external drive at the moment, if need be, you can reformat your external drive using whichever file system you desire, using the 'erase' tab in disk utility.