We just bought a 8 year old home that has had a second a story addition added to it. It looks like they had a part of it built for a new bathroom, but there are no pipes or any plumbing fixtures installed. We would like to complete it. I have no idea where to begin. I know I need to run water, and a drain system upstairs, and have no idea on how it can be done. Would removing the exterior wall be the most simple way to run the pipes? Any ideas or links would be great!

 

Start with your Building Inspection Department. You will need inspections and a permit anyway. They can tell you the local plumbing code, and may come out and tell you what you need to do.
Usually, interior wall removal is the best way, rather than through the exterior.
If you're lucky, this will be over an existing bathroom, and you can just extend the water lines and drain/waste/vent system up to it.
Otherwise, you'll have to plan the project out with the best routes possible for your particular situation. I recommend that you go to the library or a store that has a good basic plumbing book or videos that illustrate plumbing a bathroom.
Here is an illustrated article on adding a half-bath that might help you get started (from Reader's Digest "The Family Handyman" magazine):
http://www.familyhandyman.com/200002/project/main.html
Good Luck!
Mike