Get to a DOS prompt (Start Menu -> Run -> Cmd) and type the following commands (I'll assume that drive E: is assigned to your external hard drive):
If you see files listed there before typing "exit," then there's something odd going on with your Windows installation in that it can't reveal these files to you (a scan for SpyWare or viruses may be in order).
If there are no files listed there, then it may be a compatibility issue (do you have XP patched up to Service Pack 3?), or there is corruption on the disk that Windows 7 can safely ignore (because it's got a newer NTFS code base) while XP is effected.
* VERY IMPORTANT * At any rate, before you change anything on the drive (fixing errors with tools like "chkdsk" requires changing the contents of the drive), make sure you have a backup copy of it all first just in case any of the changes cause it all to be lost.