Apple Mac, How to...?

Hello everyone, first of all I'm very new to Mac, let say about 5% of knowledge. My question is I have an external hard drive which contained about 150-200G of selected songs. When I plug the external drive to Mac's USB port it recognizes but I can not play the songs straight from this external drive. I have to drag the file that I wanted to play from this external drive to iTunes application and then Mac will copy or transfer this file to my iTunes. And from here I'm able to play the wanted files(songs). It's not working like Vista that I can play straight from the external drive. Is there anyway that I can play it straight from my external drive not copy or transfer to my Mac's Hard drive? I bought Mac for Dummies book and read through it but not thing in there tell me how to play from my external drive. Please help. Thank very much.