In order to be able to use an external antenna you need to have a card with an external antenna connector such as the Lucent/Augre/Orinoco card (they keep changing their brand name). This has a very very small proprietary connector. Into this you plug a 'pigtail' lead. This is a short bit of cable with the proprietary connector on one and and a standard N type connector on the other into which you can connect your thick antenna cable. These pigtail leads are rather expensive and difficult to source from other manufacturers due to the proprietary connector. 
If you are going to mount the antenna somewhere high up a length of coax cable is required to get the signal to the antenna. You cannot just use any old bit of coax like TV cable as the attenuation at 2.4 GHz is just too high. You will need something better like LMR400 which is expensive and not carried by your local electronics store. I had to resort to buying original equipment cable to get up the chimney to my antenna.