I have exactly the same situation here, lm_mario.
Windows insists on putting my cable modem in the damn "safely remove hardware" icon on the system tray. I find it very annoying but it's not so bad if you hide it (Right click taskbar, properties, taskbar tab, customise - for those new to windows).
I am absolutely sure that there is no conflict or problem with the drivers as windows automatically detected my modem, provided correct details about the device and automatically installed the drivers. I've had no problems with it.
Now that it's there, I see no way of getting rid of the icon. Perhaps some of you registry whiz's can work out a tweak for it.
Something interesting though: I have two computers on which I recently installed Windows XP Pro (onto both). Before installing Windows XP I did not have a network, so I would simply plug my cable modem into the computer I was using.
I installed Win XP on one while the cable modem was CONNECTED. I am stuck with this situation of the "safely remove hardware..."
But on the other, I installed WinXP WITHOUT the cable modem connected. After the installation I plugged in the cable modem and it set it up automatically as its supposed to, BUT that damn icon in the system has never appeared.
So in my case, if you install windows without the device connected you won't get the icon.
Hope this helps,
Patrick