My hunch is you have a card reader installed in your machine with 4 different card slots?
These will always display as icons with drive letters in both Vista and windows 7 and unless a memory card is inserted it will report the error you described "Please insert a disk into Removable Disk".
Your usb device should be detected separately and Vista should ask you to install drivers for your device.
What sort of USB devices have you tried?
What USB ports are you trying (front, rear, One on card reader...)?
Does the usb device work in another PC?
Once we know this we may be able to better help you out.