I say this all the time, but Macs are simply easier to use than PCs. Take a USB device: on a Mac, to remove it, all you have to do is drag the USB icon on your desktop to the trash can and it will eject it. On a PC, on the other hand, you need to click that Safely Remove Hardware icon in your System Tray, select the USB device and wait for it to tell you it's safe to remove. The process opens up two different windows in a row, and if you have multiple USB devices connected, it doesn't always guess which one is which, leaving you to decide.
The thing I hate though is when you want to remove a USB device from your PC, and you get the following message: problem removing USB device - try again later. That can happen even when it seems that you've closed every document in your USB. What really is going on is that some processes involving files from your USB are still running. You'll have to look for them in your Task Manager (which you can open up either by right clicking on your toolbar or pressing Ctrl+Alt+Del) and shut them down.
If that doesn't work, I suggest installing Safely Remove. This tool will recognize all USB devices connected to your PC, look for running processes and close them down. If it can't, it'll tell you which ones are running so you can close them yourself and remove your USB device safely. One last thing, never ever just plug out your USB device - this will damage it and in the long run make it inoperable. Don't run that risk- download Safely Remove here!