You need to copy the Plex Data Folder from the WD to the Windows system.
See Move an Install to Another System.
Skip the “Copy Additional Server Settings” section. That does not apply when moving between different operating systems.
Copying the Plex Data Folder
Can you navigate to the Plex Data Folder using the file manager on the WD (their equivalent of Windows File Explorer)?
If so, navigate to the Plex Data Folder and see if there is an option to compress the folder (make a .zip, .gz, etc. file). Plex must be stopped when performing this step.
Copy the file to your PC, decompress (7-Zip.org is a good tool for this), and follow the steps in the “Move an Install…” document.
If you cannot navigate using the WD GUI, you’ll need to use the command line.
See Backup, Restore, or Clone your PMS installation for info on how to backup the Plex Data Folder.
Use the “Make the Backup Image” steps to create the backup of the Plex Data Folder.
The paths in the example are for a standard Linux installation. Adjust as needed for the WD.
For example, instead of /var/lib/plexmediaserver, use /mnt/HD/HD_a2/plex_conf/Plex Media Server/ (see Where is the Plex Media Server data directory located?).
Copy the file to your PC, then follow the rest of the steps in the “Move an Install…” document.
You can use 7-Zip to decompress the file on Windows. If you end up with a .tar file, decompress the .tar file. You should then see all the folders/files.