It means your external drive is formatted with OS X Filesystem (HFS+), so windows cannot (by default) read it and hence it gets recognized as corrupt or unformatted.
You have two choices:
1. If you are using this external
more on the Pc than on the iMac (which I assume to be the logical thing), then you are better off formatting the external to NTFS (what windows can read by default) and getting something to write to NTFS drives (OS X can only read by default) on OS X, like
Tuxera-NTFS. I don't know of free products that are currently supported in say, Lion or ML (not that I have searched for them anyway, don't have an use), but you could search around. I believe there was a way to write NTFS natively on OS X, but it was unstable and don't know if it will work on latest versions of OS X.
2. If you are using this external
more on the iMac than on the PC (which I assume to be illogical, as you kinda say you bought this PC to replace the iMac), then you'd do exactly as (1) but backwards. That is, you'd format the drive HFS+ (well, don't need to, as you currently have it that way), and then get a HFS+ reader/writer for Windows, like
MacDrive, or the reader-only
HFSExplorer (with the latter you wouldn't be able to write files on Windows to the external).
Now, leaving that aside, it's hard to maybe help you out with a better alternative, as you don't mention too much, but if I assume correctly, you're just using the external as a "bridge"? In that case there are better options, like file transferring software via LAN, or even something like Dropbox, to get the files across without intermediaries.
I personally wouldn't recommend FAT32 as Big Dave suggests, because you are dealing with video files, and FAT32 has a 4 GB limit per file, that can be annoying.