I know the Raspberry Pi Requires an SD Card with the files to boot OpenElec up on it, however considering I am using a class 4 SD card with OpenElec on it. Would I see any performance gains from running OpenElec off my external desktop hard drive connected to a USB port on the pi? My other assumption would be that I would have to create a partition on the drive, so that I could still use it with windows?
SD card reads on the pi max out at 20 MB/s; most cards will supply close to this regardless of class. Write speed is generally much less significant. You should be able to get faster reads (and writes) from an external drive.
However, that probably won't speed performance unless your RAM is always maxed out, since the system uses free RAM as a file cache for frequently accessed things.
If your system does have its RAM maxed out all the time, you will notice a performance gain if you can free 50-100 MB up regardless of whether or not you use an external drive. If you cannot free this up, using an external drive still won't make much difference on a media center; storage I/O is inevitably a bottleneck sometimes, but not often enough to make it significant if the major activity is streaming media (which occurs at much less than 20 MB/s anyway).
On a database or file server, where large amounts of data are being frequently accessed as fast as possible this would be meaningful.
My other assumption would be that I would have to create a partition on the drive, so that I could still use it with windows?
Not clear what you mean here, but if it is a shared NTFS partition, sure you could do that. The native linux ext4 format probably performs better, but I believe it is a hassle under windows