First gens did have HDD as an option, are you sure it didn't come with a hard drive?
The USB keys we used were Crucial 4GB keys. Make sure any USB drive you use is at least 4GB in size.
You can make sure you actually have the original and see which images are compatible with which releases here:
http://wiki.neurostechnology.com/index.php/Neuros_LINK_technical_specifications