Oh, I see what you are doing now. And yes, it probably won't work that way.
And I bet there's probably data in the folders, but you don't have access to it in this way, and so you probably can't see it or you get the access denied errors.
From Windows, I've never tried to directly access an external usb disk that is connected to the buffalo nas.
I don't know if usb drives can even be shared using the web console, unless they're formatted from the unit itself.
You need to try it with the usb disk directly connected to your pc, and take a look at the permissions there. And you need to properly remove the disk before you can do that.
Using the buffalo web console, I would stop the usb disk and unmount/remove it. Then physically disconnect it.
Or, you could just do a regular shutdown from the console. Both ways should allow you to safely remove the external drive.
Since that drive is part of a backup set, I would guess your Windows account will NOT have permissions to directly access it when it is connected to the buffalo unit. And that would make sense. I don't think the buffalo units were designed for that kind of access.