I've been trying with Trident to find a way to disable that sound, but I didn't find a way, but.... I've changed something. Not sure what it was Perhaps that Trident was saying it didn't find a TCP/IP (although I had Genesis and the Wifi pcmcia attached) and later don't know how I got it without that messages...
The thing is that now when I put the USB, the sound of USB attached plays, but I get no message on the screen (before I had one of USB found or similar), and if I open now whatever player it works. If I leave the USB pendrive attached when I turn on the Amiga, I get the AHI request when I open the player, but not if I boot the amiga, then put the USB stick and then open the player (or if I open the player and then put the stick).
Now it's a completely reasonable behaviour.
So the question is solved (I would like to give a good explanation of how it was solved, but I can't). Thanks everybody for the help!