外・そと on its own is the noun "outside"
since "outside" is a place different articles can be used to mark it as one
へ "e" is the direction particle and indicates a direction of movement. You would use this if you were to move from the inside to the outside.
に is a target particle, it marks the destination of movement as well as a place of existence. You would use this if you were to state the something is located outside.
で is a means particle and can mark the location where an action takes place. You would use this if you were performing an action, "I run outside, I eat outside" etc