As I added various bits of software to my machine and updated drivers it just stopped happening.
However, I then started to get lockup in MCE. A program would continue to play, but the MCE interface would stop responding. The only cure was to Ctl-Alt-Del and then stop the eshell process and then reboot.
So, I put it back to its factory condition and only added back in those bits of software that were absolutely necessary. Lo and behold, back came the "device not connected" error.
But, it has now stopped and I'm not getting any lockups either
If I was pushed, I would say it is something to do with the drivers for the hauppage hybrid tuners. I think I am using the latest XP drivers - not the MCE specific ones. I found that these gave me the best results in terms of scanning for channels.