I can't speak necessarily for PCLinuxOS, However.... First thing to consider is whether or not your PC has the ability to boot from a USB device. If the answer is yes, then proceed.
In Ubuntu I booted up to my Live CD. I had to change the option in my preferences to not "Auto Mount" removable media. Because I would not be able to successfully partition and install my OS if the drive was being mounted and controlled by the operating system. So if you are able to boot up to the CD (again, no experience with your particular distro) I would say change those options and install. Who knows, you might not even need to change the options.
This should not affect your Windows installation. Since the boot record is on the External drive, as long as the external HD isn't plugged into your USB port, the system doesn't even know about it and boots as normal. I plug in my External HD and my system automatically boots up to it. FWIW, I have been VERY satisfied with my Ubuntu install on my external drive. It amazes me that on an external drive, it STILL runs faster than Windows! LOL.
Best of luck.