If you are talking about a USB hard drive to use for recording programmes as well as hosting the CF, you first need to format it using the Humax menus and set it up for recording. Then install the CF and complete the CF configuration using network access and a web browser. The configuration stage performs any necessary folder creation etc.
If it is a USB stick (UPD) solely for hosting the CF, you need to install the CF and then access the Telnet menus to prepare the UPD prior to completing the CF configuration.
It is possible to use the CF without Internet access, but this is more appropriate for the HDR-FOX than an HD-FOX - it will be tricky on a HD-FOX and it is difficult to see what the benefit would be. Your first step should be to connect the HD-FOX to your home network and ensure you can access the TV Portal (iPlayer etc). At the very least, you need to connect the Humax to your home network temporarily even if you then disconnect it once configured.
For details see post 2 in the Quick Start Guide (click)