By external drives I am assuming you mean USB drives.
Firstly, this is technically not feasible because Windows loads USB drivers much later in the boot process than other storage drivers. Also, USB is a higher-layer protocol stack than the rest of the storage subsystem. This is why USB devices can be easily redirected into VMs without causing problems for the Host OS.
Secondly, this is a very bad idea to begin with. A spanned volume is not fault tolerant. They're OK for internal disks as long as you have backups or the data is not that sensitive. But spanning a volume on external disks is asking for trouble. What if one of the devices become disconnected while the system was running (say you accidentally kicked a power cord for example)? In the best case scenario you'd just get a BSOD. In the worst case scenario, data corruption happens and you lose ALL the data on ALL 3 of the drives. Not really worth the risk in my opinion.
Windows by design does not support this configuration. If the enclosures were eSATA you could get away with it (since Windows can't tell the difference between internal and external when it comes to SATA disks), but I still wouldn't trust it with any data I couldn't afford to lose.
2So my option is to get thoses drives out of their boxes and plug them directrly in the MB using sata ? That's bad... I don't understand the limitations of Windows sometimes. Anyway, thanks for answering. – Rogue – 2015-04-18T19:59:38.960
5They're trying to save you from yourself. A span set that's missing one of its elements is unusable. – Jamie Hanrahan – 2015-04-18T20:01:31.203
3It's like a RAID 0 with a drive missing… not a good way to go – Tetsujin – 2015-04-18T21:47:18.877