Which drive is it and are using any backup software that might be running in background? Did you wait a min or two and try again? Sometimes Windows is still writing if you copied a large file.
With the external drive plugged in, right click the drive in the folders list, then left click properties and hardware.
Left click the name of the external drive in this list, then click properties and polices.
This takes you to the “Write caching and safe removal page”. The default position in my XP is “Optimize for Quick removal” not “Optimize for Performance”
you can put the icon in the notification area by clicking the underlined “Safely Remove Hardware” on this page.