It asks to connect to external device. When choose to select my own. The external device is displayed. I select it. Then when I click open, it goes back to 'select device'
I think it might be helpful if you tell us exactly what sort of external device you are wanting to use.
Also, detail about your computer might well be relevant (see this post for what would be useful for us to know) along with the exact version number of PM which you have (you can check under Help>About...)