For those who are interested in the answer, here are the final results.
It turns out that the 500 GB External Hard Disk can only be detected if it is fomatted in FAT32.
This is strange because my 16 GB USB Flash Disk formatted in NTFS is working fine.
Anyway, I will create a FAT32 Partition for the MDT Boot files and put my image (because the file is too big for a FAT32 partition) on the secondary partition (formatted in NTFS).
Thanks to the HP Technical Pre-Sales Team for helping me with this!