You need a hard drive that supports USB On the Go, or USB Host mode. Search Amazon for USB OTG, and you will find thousands of adapters, however many of these are advertised for mobile phones. I suspect most will support a USB hard drive, but then you also also will need power, something none of these designed for phones have. You might be able to get a powered USB hub to help here, but I am not sure. (hard drive > USB OTG adapter > Hub > CF adapter.)
As you can imagine, given the challenges above, there are several purpose built devices just for this use that support this protocol, such as the Hyperdrive.
But, these devices can be expensive, especially with larger hard drives. Most folks find they can get a small, cheap laptop for far less money, even if you only use for this purpose. (Example: Asus)
For me, I find it far more cost effective, and convenient, to purchase extra CF cards, and swap them frequently. I am at the point where I have a 'CF card for the day', and I safely tuck away the previous day's cards in the evening, so if one card goes bad, I don't lose more than a day's worth of shots.