If you haven't already, connect the drive to the server, SSH into the server as root, partition the new drive, format it and mount it. I mount my backup drives as /backup.
If you are using Proxmox 1.4, click Storage -> Select Add Directory then enter something like "backup" for Storage Name, "/backup" for Directory, click the "Enable" box and then select "VZDump Backups" from the Content pulldown and hit the Save button.
Click the Storage link to verify that it shows up and is enabled. Create a backup job and select that new storage medium as the backup point.