Any Local attached (USB,esata...) drive is good.
It is best, if you can lock in the drives letter (Windows disc management) or mount point so it never changes regardless of the USB port used.
(should apply to all OS. Calibre, Server all MUST be SHUT DOWN)
1) create an EMPTY folder on the new drive (the folder name will be your new Libraries name
)
2) MOVE
the entire contents of the old Library into the new folder
Start Calibre. You will see an empty Library or a 'not found' message.
On the Library Icon: Switch/Create: USE EXISTING: <select the new homes foldername>