Are you using USB or FireWire? If FireWire, are you using an adapter of any sort? If the external drive has an external power connector make sure it's secure and actually unplug it (while not in use of course) and plug it back in. Next, try to identify if this happens with other devices in the same port, do you have other USB or FireWire devices to test with? Ultimately you may want to test the drive with another new MacBook Pro. Just bring the drive to a local reseller or Apple Store and ask if you can plug your drive into one of their computers to test.