I store some movies on my Macbook's HDD (in the Movies folder) and others on an ext USB HDD. I just put an alias in my Movies folder called "External HDD" that links to the movies folder on the USB drive.
When I run Front Row without the USB connected, it doesn't even show the alias. However, when I DO have the USB connected, the alias appears and I can access those movies. I was pleasantly surprised.
Furthermore, I can plug the USB drive in after I've already started Front Row and it will appear.