I got it running by testing it on my friends computer. This computer seemed to have different device priorities, as the USB-stick was called hd0. But I still wonder why grub found its menu.lst file on his PC and not on mine.
Does grub remember from which partition it was written in the MBR by grub-install?
I finally got it working on my PC too, but only by using the grub instance installed on my harddisk.
The USB-stick turned out to be hd1.
Does it make a difference for the enumeration of drives, if you change their booting priorities? Could the changed priorities be the reason, that grub did not find its menu.lst file?
The main problem is solved now, but I am confused
btw the partition on the USB-stick has got the bootable flag set if you meant this with active.
Thanks for your help!