Sometimes you will write to the drive with a program
(Windows Explorer is famous for this, at least on my
computers) and it keeps the connection to the drive open for
a long time. If you click on the Safely remove icon and
click on the drive and it comes up with the "can't close"
message, click on it again and see if it has closed. You
also need to make sure that any program that has addressed
the drive is closed or the file menu system has referenced
another drive (Explorer.) The other thing that you can
check is to make sure that Write caching is turned off on
the disk. Right click My Computer, left click Manage. Left
click device Manager and then click on the + next to Disk
drives. Right click on the drive and then click on
Properties then the Policies tab. Turn off the Enable write
caching on the disk and turn on the Optimize for quick
removal (if the Enable was checked.)
And as Shenan stated, if you are absolutely sure that all
data has been written to the drive you can simply turn it
off. I always wait for at least 2 minutes with no activity
after a write to my USB drives before I attempt to remove
them like this. If you get an error message stating that a
device has been removed and data can't be written to it, you
know that it had not properly closed a file and data may be
corrupted on the drive. Run a CHKDSK on the drive the next
time you fire it up.