Some new USB devices such as ADSL cable modems, SATA HDD drives, ZIP Drives, External CDROMs are hotplug devices. A hotplug device means that you can remove this device any time without switching off the computer.
If you want to remove this device, click the "Safely Remove Hardware" icon in the system tray (a small green arrow near the clock). It is possible that you never unplug this device. So how do you get rid of the icon? Try Icon Remover.