It kinda depends. The easiest way to save to that hard drive is just to copy the files to it. I'm assuming you're on a PC. If you go to "my computer" you should see an extra hard drive in there. C is likely your local hard drive, and the USB one should show up as another hard drive. Just copy the files you want to back up to the other hard drive.
For stuff you really want to keep for sure no matter what, I'd recommend an online backup service, as no matter how many copies you have of a file in your house, if something were to happen to your house, you'll likely have none. Online backups for important stuff can keep that from happening. It can be as simple as getting a gmail account and sending yourself your important files, or there are also pay-for services that will do this for you as well.
There are programs that let you use your gmail account as a virtual hard drive to store up to 6 GB of data on. I wouldn't use it for anything too serious, for now, but it might be a start anyway.
viksoe.dk - GMail Drive shell extension
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