what should I do if I want that my USB key is auto-mounted after reboot?
I mounted it on
/media/corsair, but after reboot it is gone...
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You'll need to create an entry in the fstab configuration file. The fstab configuration file contains instructions to automatically mount filesystems at startup. You can include network shares, usb sticks and internal hdd in this file.
Look here for a full howto:
It's worth noting that your usb stick will probably be a fat32 formatted device if you haven't formatted it yourself to a different file system.