I'm not quite sure what exactly is your problem, since you're mentioning cd yourself, but just to confirm: to change a working directory in terminal, you use cd command:

cd /path/to/directory

External disks are usually mounted under /media, so to get to your disk, you can type

cd /media/

then press Tab, which will show you files and sub-directories in that directory. Type a few first letters of the sub-directory you need and press Tab again. When the full path is entered, press Enter. Easy.

To run a shell script from that disk, the easiest would be to use something like

cd /media/MyDriveName/somedir/somesubdir

bash scriptname.sh

Note that you're invoking bash and passing it the name of the script, instead of running the script directly, like this:

cd /media/MyDriveName/somedir/somesubdir

./scriptname.sh

the first version don't need the executable bit to be set on the script file.