I used to use iTunes to burn to an external drive until I got a Mac Mini with an internal one. Granted they've upgraded a bazillion times and may have taken the ability to burn to an external drive off, but I doubt it, since they just want the thing to be ubiquitous. Try downloading the Windows version (assuming you use a PC) from Apple's site.
Of course Terminal Pharmacy's advice is the best, because whatever program you use is going to look for the logical default.
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