It depends on the file system used by your external hard drive. Most likely, the file system is FAT which allows both Mac and PC to read from and write to it, so you would be fine to just plug it into your Mac.
It could however be NTFS which is Microsoft file system that PCs can read and write to but Macs can only read. In this case, you'll still be able to read all of the files on the drive and copy them to your Mac, you just win't be able to add any more files or alter the files while they're still on the drive.
To tell what file system the drive is, just right-click it in Windows and select Properties, the file system should be shown in the General tab.
If the drive is NTFS you have a few options:
- You could format the drive to FAT32 or exFAT.
- You could install Paragon NTFS on your Mac which allows you to write to NTFS drives.
- You could share wirelessly from your Windows machine. You'll have to Google this yourself as it's different for each version of Windows and you haven't said which version you're using, but it's fairly easy.