External drives can be a bit of an issue. I haven't experienced this on windows but did have this problem on OSX. LW can be slow to both recognise & read from external drives. The drive must be connected & preferably been active moments before you turn LW on.
I never found a simple solution to this problem. LW is the only p2p program I had this problem with.

Re: possible permissions error; I am aware there is an issue with the new LW version & I think this is more-so applicable to VISTA. You may need to check around the VISTA section to see if you can find threads discussing this issue. Or use the forum search function. I do recall a thread discussing a permissions error where the permissions of the download (&) shared folder(s) was different to others on the computer. So check the permissions of the download folder on your C drive & that of the folder on your external drive & see if there's any difference.