OD>    #region __Перечисление типов событий__
OD>    public enum EventTypes
OD>    {
OD>      DRIVE_CONNECTED = 0x02,
OD>      DRIVE_DISCONNECTED = 0x03
OD>    }
OD>    #endregion
OD>

EventType
Data type: uint16
Access type: Read-only

Type of event. This property is inherited from Win32_DeviceChangeEvent.

Value Meaning
1 Configuration Changed
2 Device Arrival
3 Device Removal
4 Docking

Если его запускать в отдельном потоке, то ничего работать не будет (видимо, потому, что это не GUI-поток).

class UsbInformer : Form
{
    const int WM_DEVICECHANGE = 0x0219;
    const int DBT_DEVICEARRIVAL = 0x8000;
    const int DBT_DEVICEREMOVECOMPLETE = 0x8004;

    public UsbInformer()
    {
         MethodInfo mi = GetType().GetMethod("CreateControl", BindingFlags.Instance | BindingFlags.NonPublic, null, new Type[] { typeof(bool) }, null);
         mi.Invoke(this, new object[] { true });
         Thread t = new Thread(new ThreadStart(Go));
         t.SetApartmentState(ApartmentState.STA);
         t.Start();
    }

    void Go()
    {
         Application.Run();
    }

    protected override void WndProc(ref Message m)
    {
         if (m.Msg == WM_DEVICECHANGE)
         {
              switch (m.WParam.ToInt32())
              {
                    case DBT_DEVICEARRIVAL:
                    {
                          Console.WriteLine("ARRIVAL");
                          break;
                    }
                    case DBT_DEVICEREMOVECOMPLETE:
                    {
                          Console.WriteLine("REMOVE");
                          break;
                    }
               }
          }
          base.WndProc(ref m);
     }
}

class Program
{
     UsbInformer ui = new UsbInformer();
     Console.ReadLine();
}

PC>Я пробовал. Рекомендованный Вами вызов, увы, не помог. На всякий случай приведу код, вдруг я совсем ерунду написал

namespace ConsoleApplication1
{
  #region Using's

  using System;
  using System.Threading;
  using System.Windows.Forms;
  using System.Diagnostics;

  #endregion Using's

  class Program
  {
    static void Main(string[] args) {
      using(MyController controller = new MyController()) {
        controller.Start();
        Console.WriteLine("Controller started.");
        Console.ReadLine();
        Console.WriteLine("Application shutdown.");
      }//using
    }
  }

  class MyController : IDisposable
  {
    #region Fields

    private readonly Thread worker;

    #endregion Fields

    #region Constructors\Destructor

    public MyController() {
      worker = new Thread(ThreadProc);
      worker.SetApartmentState(ApartmentState.STA);
    }

    #endregion Constructors\Destructor

    #region Properties

    private Thread WorkerThread {
      get { return worker; }
    }

    #endregion Properties

    #region Methods

    public void Start() {
      WorkerThread.Start();
    }

    private class ListenerForm : Form
    {
      protected override void WndProc(ref Message m) {
        Debug.WriteLine(m);
        base.WndProc(ref m);
      }
    }

    [STAThread]
    private static void ThreadProc() {
      try {
        using(ListenerForm listener = new ListenerForm()) {
          Application.Run(listener);
        }//using
        Debug.Print("Listener thread shutdowned");
      } catch(ThreadAbortException) {
        throw;
      } catch(Exception ex) {
        Debug.Print("Listener thread exception: {0}.", ex);
      }//try
    }

    #endregion Methods

    #region IDisposable Members

    public void Dispose() {
      if(WorkerThread.ThreadState != System.Threading.ThreadState.Suspended) {
        WorkerThread.Abort();
      }//if
    }

    #endregion IDisposable Members
  }
}

OD>      #region __Подготовка к началу обработки событий об изменении состояния устройств__

OD>      WqlEventQuery volumeChangeEventQuery = new WqlEventQuery( "SELECT * FROM Win32_VolumeChangeEvent" );
OD>      volumeChangeEventWatcher = new ManagementEventWatcher( volumeChangeEventQuery );
OD>      volumeChangeEventArrivedEventHandler = new EventArrivedEventHandler( VolumeChangeEventWatcher_EventArrived );
OD>      volumeChangeEventWatcher.EventArrived += volumeChangeEventArrivedEventHandler;
OD>      volumeChangeEventWatcher.Start();

OD>      #endregion

OD>    #region __Обработчик события VolumeChangeEventWatcher_EventArrived__

OD>    private void VolumeChangeEventWatcher_EventArrived( object sender, EventArrivedEventArgs eaea )
OD>    {
OD>      ManagementBaseObject eventObject = eaea.NewEvent;
OD>      UInt16 eventType = ( UInt16 ) eventObject.Properties[ "EventType" ].Value;
OD>      if( ( UInt16 ) EventTypes.DRIVE_CONNECTED == eventType )
OD>      {
OD>        #region __Подключение устройства__
      
OD>        #endregion
OD>      }
OD>      else
OD>      {
OD>        #region __Отключение устройства__

OD>        #endregion
OD>      }
OD>    }

OD>    #endregion

OD>      volumeChangeEventWatcher.Stop();
OD>      volumeChangeEventWatcher.EventArrived -= volumeChangeEventArrivedEventHandler;

    #region __Перечисление типов событий__
    public enum EventTypes
    {
      DRIVE_CONNECTED = 0x02,
      DRIVE_DISCONNECTED = 0x03
    }
    #endregion

OD>      WqlEventQuery volumeChangeEventQuery = new WqlEventQuery( "SELECT * FROM Win32_VolumeChangeEvent" );
OD>      volumeChangeEventWatcher = new ManagementEventWatcher( volumeChangeEventQuery );
OD>      volumeChangeEventArrivedEventHandler = new EventArrivedEventHandler( VolumeChangeEventWatcher_EventArrived );
OD>      volumeChangeEventWatcher.EventArrived += volumeChangeEventArrivedEventHandler;
OD>      volumeChangeEventWatcher.Start();