If you are using an external hard drive that is always connected to your system, you can enable write caching on the drive to improve its performance. Here is how you do it-
Step 1: Select the device manager from properties under My Computer.
Step 2: Select your external hard drive from the list of hardware.
Step 3: Select Properties->Disk properties
Step 4: Check the Write Cache Enabled option and click OK.
This is not advisable for USB flash drives as a power failure can cause data loss on the USB drive.