Apple Users

There is an official discord application for macOS over at https://discord.com/download

If I were you I'd download that and the compare it to the application you've got. You've got
quite a mystery as to why it showed up.

The 'external drive' thing you noticed is pretty normal. Software is often distributed in
virtual disk "images" that look like an external disk. You can run things on them .. normally
an installer .. and then eject them and throw away the disk image. The disk image file
is usually something that ends in ".dmg" for disk-image.

In any event, I'd suggest deleting it. It's quite possibly a trojan horse malware app pretending
to be a discord app to get people to try and run it.

Note there is an application store for Mac apps. Those are pretty well vetted, and random
applications (like the discord app) are not nearly as safe to run.