Usually if you install to a usb hard drive, you would put grub on the usb hard drive too, and change the bios to boot from usb, before the local hard drive. If you are using this on other peoples computers they might not be happy if you mess with their bios. Another option would be to put a bootloader on floppy or cd-rom, and use one of those to boot your usb drive. There are specialised bootloaders that fit on a floppy that are written for exactly this sort of situation.
Here are a few links that might help....
As to your other data, I would back it up before I tried installing linux to the drive, as using Ubuntu's installation partitioning tools might destroy that data. I would then, when installing Ubuntu to the usb drive, create a seperate back up partition. If I wanted to access that data from windows machines as well, I would make it fat32. Then put the data back on after.
Best of luck...