It means its reading information off of the HDD, the reason the game has to be installed on the HDD, and patches are downloaded to the HDD.
It isn't looking for the HDD, it is using the information from the HDD to speed your game up, or to load the game as you play, so you don't have to wait for areas to be loaded.
Games that have large areas use the HDD to make it so you don't have to wait for loading screens, like GTA3 was back in the day, when it had a a large area, but you had to wait for a loading screen before you could continue down the bridge. Some games load everything (because it is small) when you start the mission. Some games have to load as you are playing (because it is large).
It isn't looking for the HDD, it is using the information from the HDD to speed your game up, or to load the game as you play, so you don't have to wait for areas to be loaded.
Games that have large areas use the HDD to make it so you don't have to wait for loading screens, like GTA3 was back in the day, when it had a a large area, but you had to wait for a loading screen before you could continue down the bridge. Some games load everything (because it is small) when you start the mission. Some games have to load as you are playing (because it is large).