Hi,
basically you can copy things directly over from Windows if you are dual booting and won't need to do anything, this is working on the assumption that the files you are moving don't require any exotic software that isn't available under Linux to function.
If it is, please look at Wine to run Windows apps under Linux:
http://appdb.winehq.org/Make a
backup copy of ALL your windows files before you start!.
You can copy any files from an external drive to Linux no problem!.