This one is simple. First make sure Finder is set to 'Show Sidebar' using Finder View settings.

Now, I'm assuming you are using a 3 button mouse, I don't know how to access these options the normal mac way.

Right click on sidebar, select Sidebar preferences. Click the 'General' tab, check 'External Hard Disks', also you might as well check 'Connected Servers' too to make it more intuitive for users who run the mac to connect to local area networks they might have plugged into.

Oh, wait, I found it, the Mac style way: Open Finder, then select from the top menu, Finder => Preferences, then you get that same dialogue pop up.
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