How to transfer files from a MacBook Pro to an external harddrive?

I have a MacBook Pro and a WesterDigital My Passport Essential SE external harddrive.

I’ve tried to transfer some file through the drag-and-drop method to the external harddrive but it won’t let me transfer the files to it. It will show a forbidden sign.

With a Windows laptop/pc I would just plug in my external harddrive then drag and drop the files to the external hdd as it is. It would just let me transfer the files without any problem.

So I don’t really know why it won’t go with the MacBook Pro, can anyone tell me how can I enable the hdd to let me transfer the files on my MBP to the hdd? Or what is wrong?

Also I’m a newbie to the MBP.