If the hard drive is new and blank, you shouldn't get that message at all. Hit the boot menu key - F9 on most HPs, can be F8, F10, F12, etc...depends on the laptop. Asus is usually F8 or Escape, it'll be on the splash screen. Select removable media or USB HDD from there, does that help at all? I know you're already set the boot priority but it's worth a try. There should be no configuration necessary for the hard drive.