Yes, you can use a USB hard drive to copy the files that you want to back up. For that to happen, your USB hard drive needs to be detected by the operating system where PCCLoneEX is installed and running.
If you already checked that and it's detected by the Windows OS, then simply start PCCloneEX and use the tree menu on the left to select the local files and then the USB hard drive on the right. Select the files and initiate the procedure. At the end of the copy phase you'll be notified about the progress as well as other details about the operation.