Hey there cafrank, welcome To Geeks To Go Forums.
I am not to sure on the reason of the change but.... Maybe you loaded a program (Eg. CloneCD) which makes its own virtual drive (In this case F:\ when the external was unpluged) and then you had uninstalled it. This is just my guess, if you never loaded any programs I am not to sure what could of caused this but I can try give you the solution.
Once the external Hard drive had been pluged in and has been recognised by windows as "G:\" then goto:
> Control Panel (In Classic Start Menu, >Settings >Control Panel)
> Administative Tools (You may have to change to Classic View [You can find this on the left hand side of control panel, there is a menu bar])
> Computer Management
> Stroage (Once inside computer management)
> Disk Management (Expand Storage)
You will then see a list of drives, select your external (G:\) right click and click "Change Drive Letters and Paths..." from there it should be easy for you to understand but if you have any other questions or need help in the proccess let me know.
Thinking of it now, the other reason for the drive to have changed its letter is windows may have reserved the drive letter for another removable item(Eg. Memory Stick)
Cool, let me know if this all worked.