My intention is to connect a device as we connect an USB WiFi adapter: the computer detect it (and reads it's MAC address) but you do not need to use it (for example because the computer is connected via Ethernet).
So this is a Windows question not related in any way to an Arduino? If it's connected by USB why does it have to have a MAC address, any serial number would be equally useful.
I would like to use this device as a "programmable hardware key" and if I connect to net this device changing the MAC address I could have MAC conflicts in the network.
As I already told you, a device connected to the network that is not active on that network is not visible, no attached PC will notice the MAC address unless the device has some network activity.
Maybe you should tell us more about what you want to achieve. In the last posts you told us how you think you should implement it but not what you're trying to implement. It sounds to me that you're trying to use the wrong technology to implement something trivial but I may be wrong because I have just a tiny amount of information.