The USB stick is absolute necessary to run a PirateBox as crucial files are stoed on it.
You can either search for it and continue using itor you can rewert to stock TP-Link firmware. The openwrt.org website can help you out http://wiki.openwrt.org/toh/tp-link/tl-mr3040#restoring_original_firmware
You can try failsafe mode as well http://wiki.openwrt.org/toh/tp-link/tl-mr3040#failsafe_mode
You can either search for it and continue using itor you can rewert to stock TP-Link firmware. The openwrt.org website can help you out http://wiki.openwrt.org/toh/tp-link/tl-mr3040#restoring_original_firmware
You can try failsafe mode as well http://wiki.openwrt.org/toh/tp-link/tl-mr3040#failsafe_mode