Use the OS X "Disk Utility.app" program (in /Applications/Utilities) to create the two partitions on the external disk. Make sure to copy all your stuff from the USB to your internal disk in it's own folder rather than the Desktop in case there are any similar named files in the Desktop).
Since you want two partitions on your external disk (one for Windows and one for Mac) you use Disk Utility to do that - so after the copy operation above, you select the external disk (make sure the disk and not a volume on that disk -- the disk is the top level item and the volumes are under that) and then click on the Partition tab (center of the 5 - labeled First Aid, Erase, Partition, RAID, Restore) and then under Partition Layout select "2 Partitions" and decide how big to make each. Then click on the "Untitled 1" partition and give it a name (e.g. Windows) and a Format of "MS-DOS (FAT)". Then click on "Untitled 2" and give it a name (e.g. External HFS) and then a Format of "Mac OS Extended (Journaled)".
Then click on the Options button under the partitions and select "GUID Partition Table" and click OK, then click Apply button and it will partition and format according to what you told it. Before clicking Apply, you can abort and get back to what you had, but once you click on the Apply button all your old stuff on the disk you selected is gone - so make sure you verify you're partitioning/formatting the correct disk and that the copied stuff is OK before proceeeding.
Once the external disk is finished with being partitioned and formatted, you can install Windows on the external disk with Bootcamp, and then after that, copy back your Mac files to "External HFS" volume that you want back there. Don't forget that you will need an official Windows 7 or 8 DVD to do the Windows installation. Probably a good idea to read this before going any further (if you already haven't) at Boot Camp: Install Windows on your Mac
Make note that Windows cannot read HFS volumes (without special software) and OS X can't write to NTFS volumes (without special software).
Does that make sense? Ask if any questions or something isn't clear. Mistakes can cause big problems, and in fact it's probably a good idea to have a current backup of you entire Mac disk(s) before doing this in case of any problems.
Good luck...