You have to import the photos on the Western Digital hard drive in Lightroom.
Open Lr, go to Library and Grid View, and then click on the <Import> button - lower left.
This will open the Import Dialog. On the left side you will see the <Source> panel. It lists your drives and folders. Select your Western Digital and in it the folder you want to import from.
Then at the top center of the Import Dialog select <Add>. This will import the photos in Lightroom but will leave them on the hard drive where they currently are.
Then click on the <Import> button - lower right.
If you want to work in Lightroom on the photos that are on the external drive, it has to be <on> - obviously. But when you are not working in Lr you can switch it off. It is not "hard' on the drive to leave it on but it has spinning disks that can wear out - eventually. The less spinning they have to do the longer it may last. The emphasis is on "may" - a hard drive can fail any time. If you are worried about his, get a second external hard drive and make backup copies of your photos to it.