It is most likely formatted as NTFS, which OS X only has read-only support for by default. There are a couple of commercial options and also the free NTFS-3G which will add write support to OS X, though you use any of them at your own risk. They will work probably 99.99% of the time, but there's always a chance something will go wrong.
The other option would be to format the drive in some format both operating systems can read such as FAT32. This would of course mean losing anything currently on the drive.
One other possibility would be if you have Boot Camp set up and a copy of Windows installed on your MBP, you should be able to use that to bridge the gap. Copy the files over to the Windows side of things, then from there to the external.
A friend brought his portable hard drive, that he uses on a pc, over and asked me to transfer some files from my MacBook Pro. I could not even though I was able to open or copy any of the files on his hard drive. How can I copy files to his drive?