Sorry, I will explain better.
When you install Centos, or more generally any of the linux distributions you will at some stage be prompted to create partitions, to install linux on, to put your swap space on and so on.
Most of main distributions will have a graphic interface that will allow you to use fdisk (linux partitioning utility) or similar in order to create all necessary partitions. I said most because the are some (such as Debian) that will expect you to use fdisk directly; nothing impossible, just read the menu properly and use the help on each of the commands.
Now, if you boot your box using a Centos install DVD/CD, you will reach the stage where you will need to create a linux partition; Centos (and I stand to be corrected as I do not use it) should automatically display the windoz partition and any other available disk space, including your external USB disk.
You will want to create at least one linux partition choosing ext3 or reiserfs type on the USB drive and choosing "/" (root) as a mount point; you will also want to create a reasonably sized swap space (roughly double your physical RAM).
You will then be asked where you want you linux boot loader (which I believe is GRUB for CentOS). You would select MBR.
Centos Install program will then create a grub configuration file (/etc/grub.conf) that should include both startup options for windoz and for linux.
At nex reboot and if your USB drive is plugged in, you will be prompted to select which OS to start.
Your USB drive may be recognised as /dev/sda or similar; that is normal; you may not have any mention of USB so make sure that you create partitions on anything but your windoz partition which will be marked as either FAT or NTFS.
Cheers
QatQat
Life is what happens when you are making other plans.