As per the FAQ link, when you start calibre for the first time it should ask you where your calibre library is located (screenshot #1). You just select the folder on the HDD/flashdrive.
Or if you already started calibre and it created a default library, you can add a new library from the Switch/Create Libraries dialog (screenshot #2)
You can also use calibre portable instead. It will save all settings/library and stuff on the flashdrive/HDD. Simply move the Calibre Library folder (as per the FAQ) into the "Calibre Portable" folder, replacing the (empty) one that was created when you installed it. Then run calibre directly from the flashdrive/HDD.
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