How do I transfer files from Windows Media Player

I am currently using WMP10 and have limited space left on my hard drive. I purchased a 250 GB external Hard drive and I want to transfer the music from WMP10 to the external which would free up some hard drive space. When I transfered the music to the external hard drive and opened up WMP10 I had duplicate files. What's the best way to transfer these music files to the external hard drive and keeping them off my internal hard drive.