In Windows, this is the only way to safely unplug the drive from the computer. The alternate way is used to Shut the computer and then unplug the drive.
Most of the time when you are trying to eject the drive using the Safely Remove Hardware on the System Tray, you get the message as "Device cannot be stopped its in use", this is due to the system files are trying to access the USB device connected to the computer.
You can resolve this by following the steps below.
Connect the external drive to the computer (Windows 2000/XP/Vista/7)
Right Click on MyComputer / Computer, and then click on Manage.
On the Computer Management screen, Click on Device Manager, then Click on Disk Drives.
Right Click on the External drive, and click on properties.
On the New Screen, Click on the Tab "Policies" and then select "Optimise for Performance". Click on OK.
System will ask to restart to make the necessary changes.
Restart the system and then use the icon on the system try, it will work.
It doesn't affect your system nor the performance.