I think I got that.

But, let's suppose that the only storage device plugged on the mainboard is
the Pen Drive, configured with HP Drive Key Boot Utility to be recognized as
a Hard Drive (as I did), and the mainboard do reconizes it as a Hard Drive.

If so, GRUB should "mark" it as HD(0,0). Am I right?

And Why only ubuntu works? That's the most strange thing about it.

And I think can edit the boot manager (GRUB) if you tell me how.

*And thank you Canuck. I think you're helping me to get there :)* 'cause the
problem is for sure with the boot manager.