Starting darktable with "C:\Program Files\darktable\bin\darktable.exe" --library d:\tmp\dt.db at the windows command prompt (cmd.exe) creates a new database for me in d:\tmp\ as @peterbud already mentioned.
However, there is no logging output shown at the command prompt. So if you start darktable like: "C:\Program Files\darktable\bin\darktable.exe" --help to see some documentation about startoptions nothing happens. That’s what does not work, because the output is written to some log file on disk. E.g. to see the output/startoptions you have to look at this log file in the manual.
Multiple of this options can be used at the same time to invoke darktable. On windows you can create batch files or use shortcuts to do this. Inside this you can place commands like
"C:\Program Files\darktable\bin\darktable.exe" --library [usbdrive letter]:\dt.db --cachedir [usbdrive letter]:\cache to start darktable with the two options --library and --cachedirat the same time.
This would use an existing or if it does not exist create a new database called dt.db and put all created previews and other stuff the needs caching in the directory cache. If it is only is only a onliner like this you can use an icon/shortcut and put this in the “field execute” or so (I have no English Windows version so this field might have a different name).
The batch file or the shortcut can resist on your external drive and can be started by double-click. The only problem is the drive letter as @houz mentioned. It needs to be the same every time. I don’t know if it possible to ensure that the same drive letter gets assigned with commands inside a batch file.