I know I can copy and paste the new files from my HD to my external HD. but it just takes lot of work. Is there a way to automatic sync between my hard drive and my external hard drive everytime I plug in my external hard drive?
RoboCopy with carefully crafted command line is your friend.
I am not sure you can find a program which will start the backup process automatically.
On Windows 7 (and probably 8), there is neat backup application which takes care to backup changed files only