What kind of external drive is it? Size, brand, model, type of connection & connection port?
LW never was very good with accepting external drives, not sure how it is with LW 5 now.

The drive must be connected and active before LW opens else LW's download location will go back to default.

One problem with external drives is they sleep whenever they can. That's how most are designed. That means they are often not totally active when LW opens.