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Could I do something on an application in Windows and save the file to the external HD then use it in Mac OS?
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Yes. OSX can read/write FAT32 natively, and read NTFS (but not write) natively. Thirdparty tools/add-ons allow you to write to NTFS volumes as well.
Windows machines require thirdparty software to read/write to HFS+ volumes.
The easiest way to get what you want is to use the least common denominator of file systems, FAT32; this way you will be able to read/write from Windows and OSX without the use of thirdparty software add-ons or utilities.