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?

No. Grub does not change since it is a file that is written at the
time of installation. It can be editted, but it does not change unless you do so
intentionallywhich is where the problem lies. The drive order is relative to
that poiunt in time and if you change your setup, it messes with what grub is
pointing to.

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.

Grub is written at the time of installation. Each installer handles things
differently. In MEPIS, for example, you can choose where to write grub to. It
gives a suggestion, but you can change it. The Ubuntu installer attempts to
simplify things and it hides the option. It is under the Advanced drop down on
page 7 of the installer. Most people miss this because they are not curious, are
in a hurry, or don't understand that they have a choice and that it makes a
difference. Most people do not even realize that they have a choice. I think
that the goal of the Ubuntu team is to try to limit the number of choices so
that people are not intimidated.

To edit grub you can work from any Linux system that you can boot into, even a
Live CD. You cannot use Windows if your usb key is formatted with ext file
system unless you install a utility called ext2fs which can read Linus file
systems from Windows. You need to mount your usb key by inserting it. If a
window opens when you insert it then close it and ignore that window. You just
need to be sure that it is mounted and it is if the window opens.

Assuming that you are using Ubuntu or another Gnome based distro open a terminal
and type: sudo nautilus. Provide your password. Nautilus, the file manager, will
open at root of whatever you are working from. Important: Keep your terminal
window open until you have editted and saved the file.

You need to navigate to your usb key. Look in the tree on the left side of
Nautilus and open your key. It will have a bunch of folders showing. One is
called boot. Navigate there. There will be a subfolder there called grub. Open
it. Look for a file called menu.lst. Right-click on it. Choose "open with text
editor" from the top of the drop down menu. The file is just a text file. Open
it. Look for the line that says, hd(x,y) where x and y are numbers. Change them
to hd(0,0) Those are zeroes, not Os. Save. Now you can close Nautilus and the
terminal. Reboot and try it out.

An alternative method is to use the command sudo gedit and then choose to open
the file from the text editor. You must do this as root which is why we use sudo
for opening either nautilus or gedit.

It sounds like you have boot manager, like I do. My HP requires me to
press escape at the first blue screen. If you edit grub so that it
reads (hd(0,0) for Ubuntu then you should be able to use your key with
the drives attached, as the boot manager will boot the usb key first,
making it hd0 which is what you need in order for it to match what grub
needs it to be.. The problem with using a key comes when you try to use
it elsewhere. You need to be able to control the boot process on each computer
to make
sure it boots from the key before the drives kick in. Most recent computers have
built in boot managers, but some older ones don't, making this a less attractive
option.