Hi,
I had the same problem.
In addition to setting up sharing and streaming in Windows Media Player, you also need to set folder and file permissions on the USB external drive. Make sure that Everyone has Full Control to the folders containing your music and videos. (Right click on the folder, select Properties, select the Security tab, click Edit, click Add, type in Everyone, click OK, tick Full Control, click OK again until you exit the properties window). If you have a large number of files, it may take a little while for all the permissions to update.
As always, consider any security risks with giving Everyone full permission to a folder. There may also be a lesser set of permissions that will still make this work. I will do some more testing and let you know.
Hope this helps,
Grant