The error message you sometimes see when removing a USB stick is just a reminder that you could encounter problems if your computer is in the middle of saving something to the USB when you remove it. In the worst case, this could result in a corrupted file which you are unable to open. That is relatively rare but it's good to get into the habit of closing connections to the memory stick before you remove it.
In order to successfully eject your USB memory stick, go to the Start menu and click on Computer. This will open a window listing your available drives. Right click on the icon representing your USB stick (in the example below it is E:) and select the Eject option from the menu that appears:
After a few seconds the E: drive will change from the name of your USB memory stick to simply (E:) Removable Disk:
You can now remove your USB memory stick safely.
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This is question number 1296, which appears in the following categories: