You can put you stuff on it just like as you would with an internal drive. Maybe the drive needs to be formatted before it will show up in "My Computer".
Go to start --> Run --> didksmgmt.msc
Right click the new disk to partition/format it.
You can install any programs or games on the disk. If it is running at USB 1.1 speeds it will be extremely slow. If it is connected using USB 2.0 the speed will be decent, but still slower than internal disks. If it is connected using Firewire it will be close to internal speeds.
TheMajorMMX - Intel P200 MMX @ 225Mhz - V-Tech (PcPartner) Baby-AT mb w/ Intel Triton TX chipset - Nvidia Riva TNT2 M64 w/ 16MB - 256MB M-Tec SDRAM - Still running.....