When you've moved your iTunes folder over to your external storage device, you'll need to select it in iTunes in both Windows and OS X.
In OS X, ensure iTunes is first closed. Then, launch the iTunes app while holding down the Option key, often marked Alt, and select Choose library. Locate the iTunes Library.itl file in the iTunes folder on your external storage and hit Open. Next, reboot your Mac into Windows. Launch iTunes while holding down the Shift key and select the same file located on your external storage.