In the host OS, go to disk management and take the USB drive offline (right click on it and choose offline)
Shut down the virtual machine you want the USB drive to attach to.
Open the settings for that virual machine
Go to SCSI controller -> hard drive
Under phsyical hard disk, select the USB drive, which should be visible there
Now you'll be able to see the USB drive in the virtual machine and back up to it if that's what you'd like to do.